Equilibrium Models With Singular Asset Prices

DOI10.1111/J.1467-9965.1991.TB00013.XMaRDI QIDQ4345912zbMATH OpenOpenAlexFDO

Authors Ioannis Karatzas, John P. Lehoczky, Steven Shreve

Publication date 31 August 1997

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1991.tb00013.x

zbMATH Keywords

equilibrium analysisfinancial economicsstochastic calculus

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) General equilibrium theory (91B50)

Recommendations

• First steps towards an equilibrium theory for Lévy financial markets
• Radner equilibrium in incomplete Lévy models
• Market clearing, utility functions, and securities prices
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Cites work

• A theory of the term structure of interest rates
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• An Intertemporal Capital Asset Pricing Model
• An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
• An Intertemporal General Equilibrium Model of Asset Prices
• Asset Prices in an Exchange Economy
• Equilibrium without uniform conditions
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• On the Existence of an Arrow-Radner Equilibrium in the Case of Complete Markets. A Remark
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis
• The Consumption-Based Capital Asset Pricing Model
• The Price Equilibrium Existence Problem in Topological Vector Lattices

Cited in

(12)

• Callable Russian options and their optimal boundaries
• Martingale densities for general asset prices
• Stability of Radner equilibria with respect to small frictions
• An example of a stochastic equilibrium with incomplete markets
• Hedging options for a large investor and forward-backward SDE's
• On the valuation of variance swaps with stochastic volatility
• The numéraire portfolio in semimartingale financial models
• Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process
• ON SAVINGS ACCOUNTS IN SEMIMARTINGALE TERM STRUCTURE MODELS
• Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
• A closed-form exact solution for pricing variance swaps with stochastic volatility
• Incomplete stochastic equilibria with exponential utilities close to Pareto optimality

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