The integrability problem of asset prices

DOI10.1006/JETH.1993.1013zbMATH Open0768.90008OpenAlexW2016039548MaRDI QIDQ1804023FDOQ1804023

Authors: Susheng Wang 

Publication date: 29 June 1993

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jeth.1993.1013

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zbMATH Keywords

rational expectations equilibriumdynamic continuous-time stochastic environment

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)

Cited In (10)

• Dynamically complete markets under Brownian motion
• A Simple Counterexample to Several Problems in the Theory of Asset Pricing
• UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES
• Nonparametric risk management and implied risk aversion
• The inverse problem of asset price under non-expected utility
• Boiteux's solution to the shifting-peak problem and the equilibrium price density in continuous time
• Nonmyopic optimal portfolios in viable markets
• Actuarial bridges to dynamic hedging and option pricing
• General properties of isoelastic utility economies
• Non-parametric counterfactual analysis in dynamic general equilibrium

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