Optimality conditions and bubbles in sequential economies and bounded relative risk-aversion

DOI10.1007/S102030300003zbMATH Open1060.91049OpenAlexW2087922843MaRDI QIDQ1397607FDOQ1397607

Authors: Arianna Dal Forno, Luigi Montrucchio 

Publication date: 6 August 2003

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s102030300003

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zbMATH Keywords

stochastic equilibriuminfinite horizon economypricing bubbles

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Consumer behavior, demand theory (91B42)

Cited In (8)

• Optimism, pessimism and financial bubbles
• A simple optimality-based no-bubble theorem for deterministic sequential economies with strictly monotone preferences
• Idiosyncratic risks, self-insurance, and stochastic bubbles
• Stationary bubble equilibria in rational expectation models
• Martingale properties of self-enforcing debt
• Notes on sequence economies, transaction costs, and uncertainty
• On fragility of bubbles in equilibrium asset pricing models of Lucas-type
• Cass transversality condition and sequential asset bubbles

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