Download or read book Optimal Incomplete Markets with Asymmetric Information written by Rohit Rahi and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes a simple parametric model of endogenously determined incomplete futures markets, focusing on their role in allocating risk and transmitting private information. It characterizes market structures that are constrained efficient in the sense that no other market structure, with the same number of assets, leads to a Pareto-dominating allocation in equilibrium. Necessary conditions for constrained efficiency are (a) hedging efficiency (the hedging quality of futures contracts cannot be improved for one agent without reducing it for another, and (b) informational efficiency (the informational content of futures prices cannot be increased for one agent without diminishing it for another). Explicit characterizations are obtained for these notions of efficiency. It is shown that, under certain conditions, the market structure determined by volume-maximizing futures is informationally efficient and, in the case of a single futures contract, hedging-efficient as well.

Download or read book Allocation Information and Markets written by John Eatwell and published by Springer. This book was released on 1989-09-21 with total page 321 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an extract from the 4-volume dictionary of economics, a reference book which aims to define the subject of economics today. 1300 subject entries in the complete work cover the broad themes of economic theory. This volume concentrates on the topic of allocation information and markets.

Download or read book Constrained Suboptimality in Incomplete Markets written by Alessandro Citanna and published by . This book was released on 1994 with total page 44 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 2002-08-31 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: Local uniqueness and smooth dependence of the endogenous variables from the exogenous ones are studied using a version of a so-called parametric transversality theorem. In a standard general equilibrium model, all equilibria are efficient, but that is not the case if some imperfection, like incomplete markets, asymmetric information, strategic interaction, is added. Then, for almost all economies, equilibria are inefficient, and an outside institution can Pareto improve upon the market outcome. Those results are proved showing that a well-chosen system of equations has no solutions."

Download or read book Economics of Asymmetric Information written by Indian Economic Association. Annual Conference and published by Deep and Deep Publications. This book was released on 2006 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contributed papers presented at the one of the technical sessions of Indian Economic Association's 85th conference held at the Kerala University in 2002.

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 Anonymity and Optimality of Competitive Equilibria when Markets are Incomplete written by Atsushi Kajii and published by . This book was released on 1991 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Anonymity and Optimality of Competitive Equilibria when Markets are Complete written by Atsushi Kajii and published by . This book was released on 1992 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asymmetric Information and the Market Structure of the Banking Industry written by Mr.Giovanni Dell'Ariccia and published by International Monetary Fund. This book was released on 1998-06-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper analyzes the effects of informational asymmetries on the market structure of the banking industry in a multi-period model of spatial competition. All lenders face uncertainty with regard to borrowers’ creditworthiness, but, in the process of lending, incumbent banks gather proprietary information about their clients, acquiring an advantage over potential entrants. These informational asymmetries are an important determinant of the industry structure and may represent a barrier to entry for new banks. The paper shows that, in contrast with traditional models of horizontal differentiation, the steady-state equilibrium is characterized by a finite number of banks even in the absence of fixed costs.

Download or read book Handbooks in Operations Research and Management Science Financial Engineering written by John R. Birge and published by Elsevier. This book was released on 2007-11-16 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.

Download or read book Essays on Financial Markets with Asymmetric Information written by Robert Lee Heinkel and published by . This book was released on 1978 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Saving Social Security written by Peter A. Diamond and published by Rowman & Littlefield. This book was released on 2006-05-25 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: New in Paperback. While everyone agrees that Social Security is a vital and necessary government program, there have been widely divergent plans for reforming it. Peter A. Diamond and Peter R. Orszag, two of the nation's foremost economists, propose a reform plan that would rescue the program both from its projected financial problems and from those who would destroy the program in order to save it. Since the publication of the first edition of this book in 2004, the Social Security debate has moved to the center of the domestic policy agenda. In this updated edition of Saving Social Security, the authors analyze the Bush Administration's proposal for individual accounts and discuss the so-called "price indexing" proposal to restore long-term solvency through changing how initial benefits would be calculated. Soc ial Security is essis essential reading for policymakers involved in reform, analysts, students, and all those interested in the fate of this safeguard of American lives. "An honest, transparent and comprehensive approach to making the much needed reforms to the Social Security program."—Journal of Pensions, Economics, and Finance "Very accessible presentation of facts, analysis of underlying problems, comparison of opinions, and argument for proposed reforms."—Future Survey Exhaustively researched and deeply entrenched in practical issues and mathematical calculations... a highly recommended ray of hope against a looming national crisis." —Wisconsin Bookwatch "Diamond and Orszag bring some welcome realism and decency to the debate."—Robert M. Solow, Institute Professor Emeritus, Massachusetts Institute of Technology, Nobel Laureate in Economics

Download or read book Asset Pricing Under Asymmetric Information written by Markus Konrad Brunnermeier and published by Oxford University Press, USA. This book was released on 2001 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: The role of information is central to the academic debate on finance. This book provides a detailed, current survey of theoretical research into the effect on stock prices of the distribution of information, comparing and contrasting major models. It examines theoretical models that explain bubbles, technical analysis, and herding behavior. It also provides rational explanations for stock market crashes. Analyzing the implications of asymmetries in information is crucial in this area. This book provides a useful survey for graduate students.

Download or read book Pareto Improving Financial Innovation in Incomplete Markets written by David Cass and published by . This book was released on 1993 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Hedging in incomplete markets and optimal control written by Christian Hipp and published by . This book was released on 1999 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Taxation Incomplete Markets and Social Security written by Peter A. Diamond and published by MIT Press. This book was released on 2003 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: An analysis of social security policy based on optimal tax theory.

Download or read book Asset Pricing under Asymmetric Information written by Markus K. Brunnermeier and published by OUP Oxford. This book was released on 2001-01-25 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset prices are driven by public news and information that is often dispersed among many market participants. These agents try to infer each other's information by analyzing price processes. In the past two decades, theoretical research in financial economics has significantly advanced our understanding of the informational aspects of price processes. This book provides a detailed and up-to-date survey of this important body of literature. The book begins by demonstrating how to model asymmetric information and higher-order knowledge. It then contrasts competitive and strategic equilibrium concepts under asymmetric information. It also illustrates the dependence of information efficiency and allocative efficiency on the security structure and the linkage between both efficiency concepts. No-Trade theorems and market breakdowns due to asymmetric information are then explained, and the existence of bubbles under symmetric and asymmetric information is investigated. The remainder of the survey is devoted to contrasting different market microstructure models that demonstrate how asymmetric information affects asset prices and traders' information , which provide a theoretical explanation for technical analysis and illustrate why some investors "chase the trend." The reader is then introduced to herding models and informational cascades, which can arise in a setting where agents' decision-making is sequential. The insights derived from herding models are used to provide rational explanations for stock market crashes. Models in which all traders are induced to search for the same piece of information are then presented to provide a deeper insight into Keynes' comparison of the stock market with a beauty contest. The book concludes with a brief summary of bank runs and their connection to financial crises.