Auflistung LIF-SAFE Working Papers nach Autor "Konermann, Patrick"

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    • Equilibrium Asset Pricing in Directed Networks 

      Branger, Nicole; Konermann, Patrick; Meinerding, Christoph; Schlag, Christian (2018-10-16)
      Directed links in cash flow networks affect the cross-section of price exposures and market prices of risk in equilibrium. In an asset pricing model featuring mutually exciting jumps, we measure directedness through an ...

    • Optimists and Pessimists in (In)Complete Markets 

      Branger, Nicole; Konermann, Patrick; Schlag, Christian (2019-06-06)
      We study the effects of market incompleteness on speculation, investor survival, and asset pricing moments, when investors disagree about the likelihood of jumps and have recursive preferences. We consider two models. In ...