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    Asset prices with jump/diffusion permanent income shocks.

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    Thumbnail
    Publication date
    2009-07-20T07:52:54Z
    Author
    Freeman, Mark C.
    Keyword
    Asset pricing theory
    Incomplete markets
    Peer-Reviewed
    Yes
    
    Metadata
    Show full item record
    Abstract
    By assuming that all uninsurable risk is permanent, a closed form multi-period, multiple agent and multiple asset incomplete market asset pricing model is presented that allows for jump as well as diffusion risk to personal income.
    URI
    http://hdl.handle.net/10454/3050
    Version
    No full-text available in the repository
    Citation
    Freeman, M.C. (2002). Asset prices with jump/diffusion permanent income shocks. Economics Letters. Vol. 7, No. 1, pp. 1-8.
    Link to publisher’s version
    http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6V84-45YG7CM-2&_user=122861&_rdoc=1&_fmt=&_orig=search&_sort=d&_docanchor=&view=c&_searchStrId=962198786&_rerunOrigin=google&_acct=C000010080&_version=1&_urlVersion=0&_userid=122861&md5=9aed5387697f60c76add271af2080662
    Type
    Article
    Collections
    Management and Law Publications

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