Abstract We incorporate Epstein-Zin preferences in an exchange economy with income
uncertainty and examine the effect of inequality on the equity risk premium. When agents …

This study investigates the convergence of the optimal consumption and investment policies
in a binomial-tree model to those in the continuous-time model of Merton (1969). We provide …

We study the portfolio choice problem of an investor who has preferences for sustaining the
standard of living (SLP) and investigate the equilibrium of a continuous-time pure exchange …

This study applies Johansen-Fisher panel cointegration to a sample of the most liquid
shares on the Brazilian stock market for 20 years. It finds that stock prices are determined by …

Abstract We incorporate Epstein-Zin preferences in an exchange economy with background
risk and examine the effect of inequality on the equity risk premium. When agents have …

In this article, we estimate the risk aversion for households accounting for their lifetime
consumption risk. Households take into account the overall lifetime uninsured consumption …

This dissertation first confirms a hypothesis long held by financial economists: that working-
and middle-class families earn substantially lower incomes than upper-class families for …

This paper studies information aggregation in financial markets with recurrent investor exit
and entry. I consider a dynamic general equilibrium model of asset trading with private …