Asset Pricing Implications of Pareto Optimality with Private Information
比较了标准不完全市场资产定价模型与约束帕累托最优分配模型的经验表现，发现后者在美国、英国和意大利的数据中能解释股权溢价和无风险利率，而前者不能。
We compare the empirical performance of a standard incomplete markets asset pricing model with that of a novel model with constrained Pareto-optimal allocations. We represent the models' stochastic discount factors in terms of the cross-sectional distribution of consumption and use these representations to evaluate the models' empirical implications. The first model is inconsistent with the equity premium in the United States, United Kingdom, and Italy. The second model is consistent with the equity premium and the risk-free rate in all three countries if the coefficient of relative risk aversion is roughly 5 and the quarterly discount factor is less than 0.5. (c) 2009 by The University of Chicago. All rights reserved.