On fragility of bubbles in equilibrium asset pricing models of Lucas-type (Q5956280)

Pricing equilibrium is unique in a pure exchange economy of Lucas type if infinitely lived homogeneous agents have uniformly bounded relative risk aversion. This result was proved under general assumptions with no restriction on stochastic nature of dividents and utilities (can be unbounded). An example featuring a Petersburg asset with a price bubble is provided. Ambigious bubbles are also studied. The open problem is raised to identity classes of models in which the Kamihigashi sufficient condition for the unique price equilibrium happens to be a necessary condition as well. The paper is mathematically strict and errorless, with much attention given to technicalities.