## Consumption Correlation and Risk Measurement in Economies with Non-traded Assets and Heterogeneous Information |

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1050 Massachusetts Avenue 3/8l Monetary Equilibrium aggregate consumption aggregation over consumers Assets and Heterogeneous assume Breeden Bureau of Economic Capital Markets commercial paper common information conditional expectation consumption beta consumption changes Continuous Time Model Correlation and Risk covariance with consumption dC dC dC dV diffusion discrete time problem dividend Economies with Non-Traded empirical equation Exchange Rate expected return expected utility expected value first-order condition goes to zero Heterogeneous Information implies Interest Rates intertemporal Ito process Ito's Lemma joint distribution marginal utility mean excess return Measurement in Economies Merton National Bureau NBER NBER WORKING PAPER Non-Traded Assets optimization problem Paul Krugman portfolio quadratic utility random variables rates of return relative risk aversion return with aggregate Risk Measurement risky assets Sanford Shiller single consumption stochastic process subset sumption t+3h take the limit Taylor expansion theorem tion Title Date traded assets trader knows traders have different transactions costs uncorrelated