Browsing FGV EPGE - Seminários de Pesquisa Econômica by Subject "Modelo de precificação de ativos"

Now showing items 1-2 of 2

    • Asset pricing when risk sharing is limited by default: a theoretical framework 

      Alvarez, Fernando
      1997-09-04
      We study the asset pricing implications of an endowment economy when agents can default on contracts that would leave them otherwise worse off. We specialize and extend the environment studied by Kocherlakota (1995) and ...

    • A consumption CAPM with a reference level 

      Garcia Junior, Renê
      2006-03-30
      We study an intertemporal asset pricing model in which a representative consumer maximizes expected utility derived from both the ratio of his consumption to some reference level and this level itself. If the reference ...