Erzo G J Luttmer
Biographic Data
| ID | 5867651 |
|---|---|
| NAME | Erzo G J Luttmer |
| GIVEN NAMES | Erzo G J |
| FAMILY NAME | Luttmer |
| SIGNATURE | LUTTMER E G J |
| AFFILIATIONS | Twin Cities Orthopedics |
| VERIFIED | No |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 9 |
| AUTHOR COUNT | 2 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1999 |
| LATEST PUBLICATION YEAR | 2003 |
| H-INDEX | 2 |
Subjective Discounting in an Exchange Economy
This paper describes the equilibrium of a discrete-time exchange economy in which consumers with arbitrary subjective discount factors and homothetic period utility functions follow linear Markov consumption and portfolio strategies. Explicit expressions are given for state prices and consumption-wealth ratios. We provide an analytically convenient continuous-time approximation and show how subjective rates of time preference affect risk-free rat…
What Level of Fixed Costs Can Reconcile Consumption and Stock Returns
This paper proposes a lower bound on the level of fixed transaction costs that is required for observations on consumption choices to be consistent with data on asset returns and a given set of preferences. The bound is derived from necessary conditions for the optimality of consumption choices in the presence of fixed transaction costs. These conditions reduce to standard Euler equations when transaction costs are zero. Conservative point estima…
Subjective Discounting in an Exchange Economy
This paper describes the equilibrium of a discrete-time exchange economy in which consumers with arbitrary subjective discount factors and homothetic period utility functions follow linear Markov consumption and portfolio strategies. Explicit expressions are given for state prices and consumption-wealth ratios. We provide an analytically convenient continuous-time approximation and show how subjective rates of time preference affect risk-free rat…
What Level of Fixed Costs Can Reconcile Consumption and Stock Returns
This paper proposes a lower bound on the level of fixed transaction costs that is required for observations on consumption choices to be consistent with data on asset returns and a given set of preferences. The bound is derived from necessary conditions for the optimality of consumption choices in the presence of fixed transaction costs. These conditions reduce to standard Euler equations when transaction costs are zero. Conservative point estima…
What Level of Fixed Costs Can Reconcile Consumption and Stock Returns
This paper proposes a lower bound on the level of fixed transaction costs that is required for observations on consumption choices to be consistent with data on asset returns and a given set of preferences. The bound is derived from necessary conditions for the optimality of consumption choices in the presence of fixed transaction costs. These conditions reduce to standard Euler equations when transaction costs are zero. Conservative point estima…
Subjective Discounting in an Exchange Economy
This paper describes the equilibrium of a discrete-time exchange economy in which consumers with arbitrary subjective discount factors and homothetic period utility functions follow linear Markov consumption and portfolio strategies. Explicit expressions are given for state prices and consumption-wealth ratios. We provide an analytically convenient continuous-time approximation and show how subjective rates of time preference affect risk-free rat…
Consumption (sociology (2 works) · Econometrics (2 works) · Economics (2 works) · Financial Markets and Investment Strategies (2 works) · Mathematics (2 works) · Microeconomics (2 works) · Asset (computer security (1 works) · Capital asset pricing model (1 works) · Computer Science (1 works) · Discounting (1 works)