Investment, Consumption, and Hedging under Incomplete Markets

We thank Andy Abel, Dave Backus, Jonathan Berk, Patrick Bolton, Ricardo Caballero, Darrell Duffie, Jan Eberly, Lorenzo Garlappi, Robert Geske, Simon Gilchrist, Steve Grenadier, John Heaton, Vicky Henderson, Bob Hodrick, Hong Liu, Debbie Lucas, Michael Manove, Chris Mayer, Robert McDonald, Mitchell Petersen (WFA discussant), Tim Riddiough, Tom Sargent, Eduardo Schwartz, Bill Schwert, Suresh Sundaresan, Sheridan Titman, Fernando Zapatero (FEA discussant), and seminar participants at Beijing University, Berkeley (Haas), Boston College, Boston University, Columbia, FEA, GSU, HKU, HKUST, Kellogg School, NYU Stern, UCLA Anderson School, UCSD economics department and Rady School, UIC, UIUC Business School, University of Rochester, USC (Marshall School), Vail conference (2006), Washington University in St. Louis, University of Wisconsin at Madison, and WFA for helpful discussions. We are particularly grateful for the anonymous referee's helpful comments. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.