On the dynamics of asset prices and portfolios in a multiperiod CAPM

Hillebrand, Marten; Wenzelburger, Jan

doi:10.1016/j.chaos.2005.08.091

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Cited by 8 publications

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“…They obtain this result by introducing imperfections in the credit market or allowing persistent and idiosyncratic risk with counter cyclical volatility. Other implications of life-cycle considerations on asset prices have been studied by Ríos (1994Ríos ( , 1996, Huggett (1996), and Hillebrand and Wenzelburger (2006). These papers argue that individuals of different age groups may respond differently to aggregate macroeconomic shocks.…”

Section: Introductionmentioning

confidence: 96%