Download or read book Analyzing Equilibrium in Incomplete Markets with Model Uncertainty written by Daisuke Yoshikawa and published by . This book was released on 2015 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we analyze equilibrium in incomplete markets of random endowments by adopting utility indifference pricing and utility-based pricing. Addressing model uncertainty, we also consider agents who adopt max/min expected utility and a risk management policy. Using this framework, we demonstrate the existence of equilibrium. Moreover, we clarify the differences in the features of equilibria derived using these methods. Further, we show that the traded amount of random endowments in equilibrium by indifference pricing depends on the level of risk aversion, initial capital, and agents' risk limits.
Download or read book Theory of Incomplete Markets written by Michael Magill and published by MIT Press. This book was released on 2002 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theory of incompl. markets/M. Magill, M. Quinzii. - V.1.
Download or read book Organization with Incomplete Information written by Mukul Majumdar and published by Cambridge University Press. This book was released on 1998-09-13 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: There have been systematic attempts over the last twenty-five years to explore the implications of decision making with incomplete information and to model an 'economic man' as an information-processing organism. These efforts are associated with the work of Roy Radner, who joins other analysts in this collection to offer accessible overviews of the existing literature on topics such as Walrasian equilibrium with incomplete markets, rational expectations equilibrium, learning, Markovian games, dynamic game-theoretic models of organization, and experimental work on mechanism selection. Some essays also take up relatively new themes related to bounded rationality, complexity of decisions, and economic survival. The collection overall introduces models that add to the toolbox of economists, expand the boundaries of economic analysis, and enrich our understanding of the inefficiencies and complexities of organizational design in the presence of uncertainty.
Download or read book Asymptotic Methods for Asset Market Equilibrium Analysis written by Kenneth L. Judd and published by . This book was released on 2010 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: General equilibrium analysis is difficult when asset markets are incomplete. We make the simplifying assumption that uncertainty is small and use bifurcation methods to compute Taylor series approximations for asset demand and asset market equilibrium. A computer must be used to derive these approximations since they involve large amounts of algebraic manipulation. To illustrate this method, we apply it to analyzing the allocative, price, and welfare effects of introducing a new derivative security. We find that the introduction of any derivative will raise the value of the risky asset relative to bonds.
Download or read book Information Structures in Economics written by Manfred Nermuth and published by Springer. This book was released on 1982 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Differential Topology and General Equilibrium with Complete and Incomplete Markets written by Antonio Villanacci and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: General equilibrium In this book we try to cope with the challenging task of reviewing the so called general equilibrium model and of discussing one specific aspect of the approach underlying it, namely, market completeness. With the denomination "general equilibrium" (from now on in short GE) we shall mainly refer to two different things. On one hand, in particular when using the expression "GE approach", we shall refer to a long established methodolog ical tradition in building and developing economic models, which includes, as of today, an enormous amount of contributions, ranging in number by several 1 thousands • On the other hand, in particular when using the expression "stan dard differentiable GE model", we refer to a very specific version of economic model of exchange and production, to be presented in Chapters 8 and 9, and to be modified in Chapters 10 to 15. Such a version is certainly formulated within the GE approach, but it is generated by making several quite restrictive 2 assumptions • Even to list and review very shortly all the collective work which can be ascribed to the GE approach would be a formidable task for several coauthors in a lifetime perspective. The book instead intends to address just a single issue. Before providing an illustration of its main topic, we feel the obligation to say a word on the controversial character of GE. First of all, we should say that we identify the GE approach as being based 3 on three principles .
Download or read book Existence of Equilibrium in Incomplete Markets with Non ordered Preferences written by Erkan Yalcin and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we extend the results of recent studies on the existence of equilibrium in finite dimensional asset markets for both bounded and unbounded economies. We do not assume that the individual's preferences are complete or transitive. Our existence theorems for asset markets allow for short selling. We shall also show that the equilibrium achieves a constrained core within the same framework.
Download or read book Shocks and Choices an Analysis of Incomplete Market Models written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The thesis is divided into two parts: The first part deals with modelling long-range dependence in asset returns. Certain long-range dependence models, which have been suggested for financial modelling, fall outside the semimartingale set-up. We suggest Poisson shot noise processes as a skeleton of a long-range dependence model which provides an economic reasoning for long memory. We study weak convergence to a fractional Brownian motion. Whereas fractional Brownian motion allows for arbitrage, the shot noise processes themselves can be chosen arbitrage-free. As complement we also investigate shot noise processes which consist of shots with finite limits. They converge to a Brownian motion, i.e. they have the same asymptotic behaviour as compound Poisson processes. In the second part of the thesis we analyze American options and so-called "game options" in a general semimartingale setting. Game options naturally generalize American options by giving both counterparites the right to cancel the contract prematurely. Whereas in recent years various suggestions have been made how to price European-type contingent claims in incomplete markets, up to now there is only little corresponding literature dealing with American options. Pricing the latter is conceptually more involved: in addition to the uncertainty caused by the underlyings, one has to take the seller's ignorance of the buyer's exercise strategy into account. We generalize the "neutral derivative pricing" approach to American and game options which leads to unique "neutral" derivative price processes in incomplete markets. An alternative approach is "utility-based indifference pricing" which was firstly suggested by Hodges and Neuberger (1989) and which ist by now a standard concept to valuate European style derivatives in incomplete markets. We generalize this concept to American options and so-called "chooser options". It leads to a quite surprising result con.
Download or read book Investment under Uncertainty Coalition Spillovers and Market Evolution in a Game Theoretic Perspective written by J.H.H Thijssen and published by Springer Science & Business Media. This book was released on 2006-04-11 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two crucial aspects of economic reality are uncertainty and dynamics. In this book, new models and techniques are developed to analyse economic dynamics in an uncertain environment. In the first part, investment decisions of firms are analysed in a framework where imperfect information regarding the investment's profitability is obtained randomly over time. In the second part, a new class of cooperative games, spillover games, is developed and applied to a particular investment problem under uncertainty: mergers. In the third part, the effect of bounded rationality on market evolution is analysed for oligopolistic competition and incomplete financial markets.
Download or read book Incomplete Markets written by Michael J. P. Magill and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Equilibrium Existence and Approximation for Incomplete Market Models with Substantial Heterogeneity written by Thomas M. Mertens and published by . This book was released on 2013 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper contains an analysis of incomplete market models with finitely but arbitrarily many heterogeneous agents. We discuss the mathematical foundation for equilibrium conditions which leads to two findings. First, we establish existence of equilibria for small and large risks. Second, we develop a simple but general solution technique which handles many state and choice variables for each agent and thus an extremely high-dimensional state space. The method is based on perturbations around a point at which the solution is known. The novel idea is to exploit the symmetry of the problem to overcome the curse of dimensionality. We use the analysis to demonstrate the impact of heterogeneity on macroeconomic quantities and the pricing of risk. Furthermore, we set our technique apart from the standard method used in the literature.
Download or read book Economie de L incertain Et de L information written by Jean-Jacques Laffont and published by MIT Press. This book was released on 1989 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Economics of Uncertainty and Information may be used in conjunction with Loffont's Fundamentals of Economics in an advanced course in microeconomics.
Download or read book Equilibrium in Incomplete Markets I A Basic Model of Generic Existence written by Mathematical Sciences Research Institute (Berkeley, Calif.). and published by . This book was released on 1986 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Equilibrium Welfare and Uncertainty written by Mukul Majumdar and published by . This book was released on 2009 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the fundamental themes in economic theory is the study of the role of prices in achieving an optimal allocation of resources in a competitive, decentralized economy. The book begins with a review of the basic results on the rigorous elaboration of the Walras-Pareto theory (following the lead of Arrow and Debreu) in the context of a static economy with many agents. It summarizes some subsequent research in which the limits of the price-mechanism as a successful coordination device are recognized. When economic activity is allowed with no pre-assigned terminal period, the two fundamental theorems linking competitive equilibrium allocations to Pareto optimality are challenged and the question of decentralization is carefully re-examined. With incomplete markets, and sequential trading, the concept of a Radner equilibrium is next introduced, and some of the striking properties of this are summarized. In a large economy with random shocks to preferences and/or endowments of individual agents, the implications of the celebrated laws of probability theory are explored. This book provides a clear and comprehensive analysis of the efficiency properties of general equilibrium, with many agents and an expanded list of commodities. It will be of particular interest to postgraduate and doctorate students of economic theory as well as scholars on Walrasian equilibrium, Pareto optimality and uncertainty theories.
Download or read book Comparison of Solutions to the Incomplete Markets Model with Aggregate Uncertainty written by Wouter J. Den Haan and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Default in a General Equilibrium Model with Incomplete Markets written by Pradeep Dubey and published by . This book was released on 1999 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Equilibrium in Incomplete Markets with Differential Information written by Lionel de Boisdeffre and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
