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Nontraded Assets in Incomplete Markets: Pricing and Portfolio Choice
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
Graduate School of Business, Stanford University.
1990 (English)Report (Other academic)
Abstract [en]

This paper examines portfolio choice and asset pricing when some assets are nontraded, for instance when a country cannot trade claims to its output on world capital markets, when a government cannot trade claims to future tax revenues, or when an individual cannot trade claims to his future wages. The close relation between portfolio choice and implicit pricing of nontraded assets is emphasized. Explicit solutions are presented to the portfolio and pricing problem for special cases, including when income from the nontraded assets is a diffusion process, not spanned by traded assets, and affected by state variable.

Place, publisher, year, edition, pages
Stockholm: IIES , 1990. , 36 p.
Series
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 477
Keyword [en]
portfolio choice, asset pricing, nontraded assets, labor income, optimal hedging, incomplete markets, spanning, continuous time
National Category
Economics
Identifiers
URN: urn:nbn:se:su:diva-41783OAI: oai:DiVA.org:su-41783DiVA: diva2:337736
Available from: 2010-08-09 Created: 2010-08-09 Last updated: 2010-08-09Bibliographically approved

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Svensson, Lars E.O.
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf