Incomplete security markets with infinitely many states: An introduction

DOI10.1016/0304-4068(95)00740-7MaRDI QIDQ1817339zbMATHOpenAlexFDO

Authors Darrell Duffie

Publication date 1 December 1996

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4068(95)00740-7

zbMATH Keywords

equilibriumincomplete marketsinfinite state space

Mathematics Subject Classification ID

General equilibrium theory (91B50)

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• Stochastic equilibria with incomplete financial markets
• A note on extremality and completeness in financial markets with infinitely many risky assets
• The existence of security market equilibrium with a non-atomic state space

Cites work

• scientific article; zbMATH DE number 1154009 (Why is no real title available?)
• scientific article; zbMATH DE number 1154013 (Why is no real title available?)
• A new proof of the existence of equilibrium in incomplete market economies
• An introduction to general equilibrium with incomplete asset markets
• Dept constraints and equilibrium in infinite horizon economies with incomplete markets
• Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
• Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
• Infinite Horizon Incomplete Markets
• Infinite horizon equilibrium with incomplete markets
• On the optimality of equilibrium when the market structure is incomplete
• Rational expectations equilibria in sequence economies with symmetric information: The two-period case
• Self-fulfilling equilibria: An existence theorem for a general state space
• The existence of security market equilibrium with a non-atomic state space

Cited in

(6)

• Monotone optimal policies in discounted Markov decision processes with transition probabilities independent of the current state: existence and approximation
• A note on the optimal portfolio problem in discrete processes
• A note on extremality and completeness in financial markets with infinitely many risky assets
• The existence of security market equilibrium with a non-atomic state space
• Equilibria in incomplete assets economies with infinite dimensional spot markets
• Discounted Markov control processes induced by deterministic systems

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