22
Sep
10

¿Envidia a la física o invasión de campo?

El Blog EconoPhysics es una variante interesante del universo de las interdiciplinas. Con articulos interesantes como una carta a Soros y las criticas de libros, este sitio de la Universidad de Friburgo puede transformarse en una parada recurrente. Especialmente por la seccion de papers, en la cual aparece titulos mas que sugerentes como:

Asset pricing puzzles explained by incomplete Brownian equilibria

We examine a class of Brownian based models which produce tractable incomplete equilibria. The models are based on finitely many investors with heterogeneous exponential utilities over intermediate consumption who receive partially unspanned income. The investors can trade continuously on a finite time interval in a money market account as well as a risky security. Besides establishing the existence of an equilibrium, our main result shows that the resulting equilibrium can display a lower risk-free rate and a higher risk premium relative to the usual Pareto efficient equilibrium in complete markets. Consequently, our model can simultaneously help explaining the risk-free rate and equity premium puzzles.

Link al Paper


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