Essec\Faculty\Model\Contribution {#2220
  #_index: "academ_contributions"
  #_id: "16496"
  #_source: array:26 [
    "id" => 16496
    "slug" => "16496-a-class-of-tractable-incomplete-market-models-for-studying-asset-returns-and-risk-exposure"
    "yearMonth" => "2018-04"
    "year" => 2018
    "title" => "A class of tractable incomplete-market models for studying asset returns and risk exposure"
    "description" => "LE GRAND, F. et RAGOT, X. (2018). A class of tractable incomplete-market models for studying asset returns and risk exposure. <i>European Economic Review</i>, 103, pp. 39-59."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "LE GRAND François"
        "bid" => "B00832579"
        "slug" => "le-grand-francois"
      ]
      1 => array:1 [
        "name" => "Ragot Xavier"
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2026-05-26 09:47:49"
    "publicationUrl" => "https://doi.org/10.1016/j.euroecorev.2018.01.003"
    "publicationInfo" => array:3 [
      "pages" => "39-59"
      "volume" => "103"
      "number" => ""
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "We present a class of tractable incomplete-market models, where agents face both aggregate risk and limited participation in financial markets. Tractability relies on the assumptions of small asset volumes and of a period utility function that is linear beyond a threshold, in line with Fishburn’s (1977) contribution in decision theory. We prove the existence of an equilibrium and derive theoretical results regarding asset prices and consumption choices. This small-trade model is able to reproduce a low safe return and a high equity premium, together with a realistic representation of household exposure to both idiosyncratic and aggregate risks."
      "en" => "We present a class of tractable incomplete-market models, where agents face both aggregate risk and limited participation in financial markets. Tractability relies on the assumptions of small asset volumes and of a period utility function that is linear beyond a threshold, in line with Fishburn’s (1977) contribution in decision theory. We prove the existence of an equilibrium and derive theoretical results regarding asset prices and consumption choices. This small-trade model is able to reproduce a low safe return and a high equity premium, together with a realistic representation of household exposure to both idiosyncratic and aggregate risks."
    ]
    "authors_fields" => array:2 [
      "fr" => "Economie"
      "en" => "Economics"
    ]
    "indexedAt" => "2026-06-04T11:23:33.000Z"
    "docTitle" => "A class of tractable incomplete-market models for studying asset returns and risk exposure"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/le-grand-francois">LE GRAND François</a>, Ragot Xavier"
    "docDescription" => "<span class="document-property-authors">LE GRAND François, Ragot Xavier</span><br><span class="document-property-authors_fields">Economics</span> | <span class="document-property-year">2018</span>"
    "keywordList" => ""
    "docPreview" => "<b>A class of tractable incomplete-market models for studying asset returns and risk exposure</b><br><span>2018-04 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://doi.org/10.1016/j.euroecorev.2018.01.003" target="_blank">A class of tractable incomplete-market models for studying asset returns and risk exposure</a>"
  ]
  +lang: "en"
  +"_score": 8.502932
  +"_ignored": array:2 [
    0 => "abstract.en.keyword"
    1 => "abstract.fr.keyword"
  ]
  +"parent": null
}