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The Journal of Finance, ISSN 0022-1082, 12/2013, Volume 68, Issue 6, pp. 2269 - 2308
Journal Article
Bulletin of Economic Research, ISSN 0307-3378, 01/2019, Volume 71, Issue 1, pp. 90 - 112
ABSTRACT This study considers a capital assets pricing model (CAPM) in an incomplete financial market wherein not all risky assets are traded and the risk from... 
portfolio choice | G11 | G12 | CAPM beta | diversification | incomplete market | nontraded asset | LIQUIDITY | MARKET | PRICES | UNDIVERSIFIABLE INCOME RISK | INFORMATION | CROSS-SECTION | ASYMMETRY | ECONOMICS | ILLIQUIDITY | CAPM | Capital assets | Economic models
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 7/2007, Volume 20, Issue 4, pp. 1139 - 1181
We study the implications of introducing demand shocks and trade in goods into an otherwise standard international asset pricing model. Trade in goods gives... 
Stock prices | Consumer confidence | Demand shocks | Exchange rates | Economic models | Terms of trade | Foreign exchange rates | Supply shocks | Macroeconomics | Stock markets | HETEROGENEOUS BELIEFS | STOCK RETURNS | BUSINESS, FINANCE | NONTRADED GOODS | EQUILIBRIUM-MODEL | DYNAMIC EQUILIBRIUM | MONETARY-POLICY | ECONOMICS | FOREIGN-EXCHANGE | PORTFOLIO | CONSUMPTION | CURRENCY PRICES
Journal Article
Mathematical Finance, ISSN 0960-1627, 10/2002, Volume 12, Issue 4, pp. 351 - 373
A topical problem is how to price and hedge claims on nontraded assets. A natural approach is to use for hedging purposes another similar asset or index which... 
basis risk | unhedgeable risks | nontraded assets | incomplete markets | exponential utility | option pricing | constant relative risk aversion | Unhedgeable risks | Constant relative risk aversion | Option pricing | Incomplete markets | Nontraded assets | Basis risk | Exponential utility
Journal Article
MATHEMATICAL FINANCE, ISSN 0960-1627, 10/2002, Volume 12, Issue 4, pp. 351 - 373
A topical problem is how to price and hedge claims on nontraded assets A natural approach is to use for hedging purposes another similar asset or index which... 
MARKET | basis risk | unhedgeable risks | nontraded assets | incomplete markets | constant relative risk aversion | BUSINESS, FINANCE | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | INCOME | CONSTRAINTS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | exponential utility | option pricing
Journal Article
Journal of Computational and Applied Mathematics, ISSN 0377-0427, 04/2020, Volume 368, p. 112522
This paper investigates the optimal investment strategy and the pricing of derivatives in an incomplete financial market with one risk-free asset, one stock... 
Incomplete market | Stochastic control | Derivatives pricing | Portfolio selection | MATHEMATICS, APPLIED | PRICES | NONTRADED ASSETS | VALUATION | OPTIONS
Journal Article
The Journal of Finance, ISSN 0022-1082, 2/2014, Volume 69, Issue 1, pp. 1 - 49
Mean-variance portfolio theory can apply to streams of payoffs such as dividends following an initial investment. This description is useful when returns are... 
Risk aversion | Dividends | Investment risk | Return on investment | Investors | Asset income | Yield | Financial portfolios | Wealth | Financial investments | LIFE-CYCLE | CHOICE | BUSINESS, FINANCE | OPTIMAL CONSUMPTION | ASSET ALLOCATION | EXPECTED RETURNS | NONTRADED ASSETS | LABOR INCOME | ECONOMICS | LONG-TERM BONDS | INCOMPLETE MARKETS | CROSS-SECTION | Financial analysis
Journal Article
Macroeconomic Dynamics, ISSN 1365-1005, 2/2011, Volume 15, Issue 1, pp. 119 - 143
A canonical flexible-price international real-business cycle model with incomplete financial markets can address the exchange rate-volatility puzzle, the... 
Real Exchange Rate Dynamics | Trade Elasticity | Backus-Smith Puzzle | Incomplete Financial Markets | Exchange Rate Persistence | NONTRADED GOODS | BUSINESS CYCLES | SMALL OPEN-ECONOMY | ECONOMICS | CONSUMPTION | Studies | Economic models | Business cycles | Economic theory | Foreign exchange rates | Securities markets
Journal Article
Regional Science and Urban Economics, ISSN 0166-0462, 2011, Volume 41, Issue 3, pp. 293 - 304
A multi-region, dynamic stochastic general equilibrium (MRDSGE) model is built to show that differences in the price elasticity of housing supply can be... 
Monetary policy | Region-specific portfolio | Housing market | Regional economic difference | R10 | E52 | R33 | E32 | BUSINESS-CYCLE | DIVERSIFICATION | NONTRADED GOODS | URBAN STUDIES | MARKETS | ECONOMICS | ENVIRONMENTAL STUDIES | HOUSING PRICES | Regional economic difference Monetary policy Housing market Region-specific portfolio
Journal Article
Journal of Population Economics, ISSN 0933-1433, 7/2019, Volume 32, Issue 3, pp. 845 - 876
This paper addresses issues of divorce, consumption and investment. Divorce, in our model, is a forward put option on a non-traded variable, marital quality.... 
Economics | Population Economics | Divorce | Demography | Consumption-investment | G24 | G12 | G23 | Social Policy | Two-period model | Labor Economics | MULTIATTRIBUTE UTILITY-THEORY | OPTIMAL PORTFOLIO CHOICE | ASSET ALLOCATION | QUALITY | BACKGROUND RISK | MARRIAGE | DEMOGRAPHY | LAWS | NONTRADED ASSETS | ECONOMICS | HEALTH | MARITAL SATISFACTION | Consumption | Bivariate analysis | Investment
Journal Article
Quantitative Finance, ISSN 1469-7688, 10/2014, Volume 14, Issue 10, pp. 1725 - 1737
In this article, we define a hedging strategy in a setting typical for the commodity market. Firstly, we prove the existence of the locally risk-minimizing... 
Non-traded assets | Stochastic volatilty models | Hedging strategies | G13 | Energy derivatives | G19 | Local risk minimization | FOLLMER-SCHWEIZER DECOMPOSITION | RISK | MODEL | BUSINESS, FINANCE | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | NONTRADED ASSETS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS
Journal Article
Finance Research Letters, ISSN 1544-6123, 05/2017, Volume 21, pp. 241 - 248
•A model of CAPM betas in an incomplete market is developed.•Traditional CAPM betas are compared to CAPM betas in an incomplete market.•The CAPM betas in an... 
Incomplete market | Portfolio choice | SML | CAPM | Korean stock market | Beta | BUSINESS, FINANCE | LIQUIDITY | FINANCE | NONTRADED ASSETS | EQUILIBRIUM | RISK | Stocks | Stock markets | Business schools
Journal Article
MANCHESTER SCHOOL, ISSN 1463-6786, 03/2013, Volume 81, Issue 2, pp. 163 - 175
I use a panel data set covering 26 OECD countries between 1960 and 2004 to revisit the consumptionreal exchange rate anomaly. After using demographic variables... 
NONTRADED GOODS | ECONOMICS | INTERNATIONAL ASSET MARKETS | VOLATILITY
Journal Article
Journal of International Economics, ISSN 0022-1996, 03/2013, Volume 89, Issue 2, pp. 471 - 484
Recent work in international finance suggests that exchange rate puzzles can be accounted for if (1) aggregate uncertainty is time-varying, and (2) countries... 
Time-varying risk premia | Forward premium puzzle | Business cycles | Disasters | Backus–Smith puzzle | Backus-Smith puzzle | INTERTEMPORAL SUBSTITUTION | RATE VOLATILITY | GENERAL EQUILIBRIUM | LONG-RUN | PASS-THROUGH | NONTRADED GOODS | REAL EXCHANGE-RATES | ECONOMICS | ASSET MARKETS | CONSUMPTION | International finance | Consumption (Economics)
Journal Article
Finance Research Letters, ISSN 1544-6123, 08/2016, Volume 18, pp. 242 - 249
•An explanation of why retail investors pay high price for structured bonds is given.•Illiquid claim price can decrease in correlation between traded and... 
Robust portfolio choice | Nontraded assets | Pricing illiquid claims | BUSINESS, FINANCE | MARKETS | PREMIUM | RISK | AMBIGUITY | ROBUST PORTFOLIO RULES | VALUATION | Pricing | Securities trading | Hedging (Finance) | Analysis
Journal Article
Journal of Monetary Economics, ISSN 0304-3932, 09/2008, Volume 55, Issue 6, pp. 1129 - 1142
Empirical evidence suggests that movements in international relative prices are large and persistent. Nontraded goods, both in the form of final consumption... 
Distribution services | Exchange rates | Incomplete asset markets | Nontraded goods | TRADE | BUSINESS, FINANCE | MODELS | FLUCTUATIONS | BUSINESS CYCLES | ECONOMICS | Exchange rates Nontraded goods Distribution services Incomplete asset markets | Money
Journal Article
European Finance Review, ISSN 1382-6662, 1/2000, Volume 4, Issue 3, pp. 231 - 252
This paper examines a number of valuation problems faced by an expected-utility-maximizing investor who, over a given time horizon, is constrained to hold an... 
martingale approach | valuation | Finance /Banking | optimal portfolio choice | International Economics | incomplete markets | nontraded assets | Economics / Management Science | Risk aversion | Studies | Valuation | Investments | Hedging | Mathematical models | Portfolio management
Journal Article
Journal of Economic Dynamics and Control, ISSN 0165-1889, 2005, Volume 29, Issue 7, pp. 1237 - 1266
Journal Article
Journal of Economic Dynamics and Control, ISSN 0165-1889, 11/2016, Volume 72, pp. 115 - 124
Journal Article