Output details
19 - Business and Management Studies
London Business School
Asset Pricing with Limited Risk Sharing and Heterogeneous Agents
The previous work submitted to the RAE2008 has been significantly revised. The final version submitted to REF2014 includes several major new results:
• An analysis of time-variation in risk premium generated by the model and direct comparison with the empirical evidence.
• A study of the long-run risk properties of the model and including new results to show the trade-offs implied by calibration that could potentially generate the levels of long-run risk suggested in other models.
• The model was re-calibrated to improve the fit with the empirical evidence on cross-sectional wealth accumulation and to consider alternative forms of differences in preferences amongst the agents.