Rational equilibrium asset-pricing bubbles in continuous trading models
From MaRDI portal
Publication:1566903
DOI10.1006/jeth.1999.2589zbMath0954.91021OpenAlexW2091171880MaRDI QIDQ1566903
Gregory A. Willard, Mark A. Loewenstein
Publication date: 9 February 2001
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/bd7b9bd75ef3516701e013debb560c5c4908870c
Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)
Related Items
Relative asset price bubbles, Asset price bubbles: invariance theorems, The Formation of Financial Bubbles in Defaultable Markets, Liquidity Induced Asset Bubbles via Flows of ELMMs, Bubbles in discrete-time models, Strict local martingales: examples, Rational asset pricing bubbles and debt constraints, Asset price bubbles, wealth preserving, dominating, and replicating trading strategies, Portfolio constraints, differences in beliefs and bubbles, Liquidity Based Modeling of Asset Price Bubbles via Random Matching, A note on options and bubbles under the CEV model: implications for pricing and hedging, Shifting martingale measures and the birth of a bubble as a submartingale, Implied Volatility in Strict Local Martingale Models, Simple examples of pure-jump strict local martingales, ASSET PRICE BUBBLES IN INCOMPLETE MARKETS, Asymptotic asset pricing and bubbles, The lifetime of a financial bubble, Asset pricing in an imperfect world, HEDGING UNDER ARBITRAGE, Yan theorem in \(L^{\infty}\) with applications to asset pricing, Market viability via absence of arbitrage of the first kind, Rational asset pricing bubbles and portfolio constraints, Foreign currency bubbles, Strict local martingales and optimal investment in a Black–Scholes model with a bubble, Analysis of continuous strict local martingales via \(h\)-transforms, On optimal arbitrage, Financial asset price bubbles under model uncertainty, A Nonuniformly Integrable Martingale Bubble with a Crash, Financial Asset Bubbles in Banking Networks, Semilattices, canonical embeddings and representing measures, A Mathematical Theory of Financial Bubbles, Asset price bubbles in markets with transaction costs, No Arbitrage and the Growth Optimal Portfolio, INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS, APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES, Fragility of arbitrage and bubbles in local martingale diffusion models, History of the Finite Element Method – Mathematics Meets Mechanics – Part II: Mathematical Foundation of Primal FEM for Elastic Deformations, Error Analysis and Adaptivity, The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations, A liquidity-based model for asset price bubbles
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Martingales and arbitrage in multiperiod securities markets
- Arbitrage and equilibrium in economies with infinitely many commodities
- Martingales and stochastic integrals in the theory of continuous trading
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Bubbles and constraints on debt accumulation
- A general version of the fundamental theorem of asset pricing
- Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
- Local martingales, arbitrage, and viability. Free snacks and cheap thrills
- Dept constraints and equilibrium in infinite horizon economies with incomplete markets
- On the fundamental theorem of asset pricing with an infinite state space
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- On the Possibility of Speculation under Rational Expectations
- Bubbles and Charges
- Infinite Horizon Incomplete Markets
- Rational Asset Pricing Bubbles
- MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
- The Consumption-Based Capital Asset Pricing Model
- Asset Bubbles and Overlapping Generations
