Information structure and equilibrium asset prices (Q759628): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
RedirectionBot (talk | contribs)
Removed claim: author (P16): Item:Q673246
Property / author
 
Property / author: Chi-fu Huang / rank
Normal rank
 

Revision as of 10:53, 20 February 2024

scientific article
Language Label Description Also known as
English
Information structure and equilibrium asset prices
scientific article

    Statements

    Information structure and equilibrium asset prices (English)
    0 references
    1985
    0 references
    In a continuous trading economy, it is shown that if information is revealed continuously and if agents' preferences are continuous in a certain topology, then equilibrium asset price processes must have continuous sample paths. Except for uninteresting cases, the sample paths of price processes will be of unbounded variation. In particular, if the information is generated by a Brownian motion, then equilibrium asset price processes are Ito integrals. When information is not revealed continuously, the times (which may be random) at which prices can have jumps are identified.
    0 references
    information structure
    0 references
    continuous trading economy
    0 references
    equilibrium asset price processes
    0 references
    continuous sample paths
    0 references
    Brownian motion
    0 references
    Ito integrals
    0 references

    Identifiers