Download or read book Existence of an Equilibrium in Incomplete Markets with Discrete Choices and Many Markets written by Jonathan Halket and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 On the Existence and the Topology of Equilibria in Incomplete Asset Markets written by Graciela Chichilnisky and published by . This book was released on 1993 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences written by and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading constraints. In the special case where all agents have preferences of the same type and all random endowments are replicable by trading in the financial market we show that a one-fund theorem holds and give an explicit expression for the equilibrium pricing kernel. If the underlying noise is generated by finitely many Bernoulli random walks, the equilibrium dynamics can be described by a system of coupled backward stochastic difference equations, which in the continuous-time limit becomes a multi-dimensional backward stochastic differential equation. If the market is complete in equilibrium, the system of equations decouples, but if not, one needs to keep track of the prices and continuation values of all agents to solve it. As an example we simulate option prices in the presence of stochastic volatility, demand pressure and short-selling constraints. -- Competitive equilibrium ; incomplete markets ; heterogenous agents ; trading constraints ; backward stochastic difference equations
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 Pricing in Incomplete Markets written by Elyes Jouini and published by . This book was released on 2007 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Given exogenously the price process of some asets, we constrain the price process of other assets, which are characterised by their final pay-offs. We deal with an incomplete market framework in a discrete time model and assume the existence of the equilibrium. In this setup, we derive restrictions on the state-price deflators and these restrictions do not depend on a particular choice of utility function. A stochastic volatility model is numerically investigated as an example. Our approach leads to an interval of admissible prices much better than the arbitrage pricing interval.
Download or read book Equilibria with Incomplete Markets and Overlapping Generations written by David Cass and published by . This book was released on 1991 with total page 48 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 Existence of Equilibrium and the Core in Incomplete Markets written by Erkan Yalcin and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Existence of equilibria in incomplete markets with non ordered preferences written by Erkan Yalcin and published by . This book was released on 1997 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Existence of Equilibrium in Regular Economies with Incomplete Markets written by Graciela Chichilnisky and published by . This book was released on 1991 with total page 7 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:
Download or read book Competitive Equilibrium for Incomplete Market Structures written by Yves Younès and published by . This book was released on 1987 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Special issue on general equilibrium with incomplete markets written by John Geanakoplos and published by . This book was released on 1990 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Equilibrium in Incomplete Markets II Generic Existence in Stochastic Economies written by Mathematical Sciences Research Institute (Berkeley, Calif.). and published by . This book was released on 1986 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Existence of Competitive Equilibria in Markets with a Continuum of Traders written by Robert J. Aumann and published by . This book was released on 1964 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is well known, and easy to establish, that there exist markets that do not have competitive equilibria, provided the traders do not have convex preferences--that is, that the set of commodity bundles preferred or indifferent to a given bundle is not always convex. It is proved, nevertheless, that in a market consisting of a continuum of traders, each one individually insignificant, there is always a competitive equilibrium, even when the preferences are not convex. (Author).
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:
