Asset prices in segmented and integrated markets

DOI10.1007/S00780-020-00433-4MaRDI QIDQ2211344zbMATH OpenOpenAlexFDO

Authors Paolo Guasoni, K. C. Wong

Publication date 11 November 2020

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00780-020-00433-4

zbMATH Keywords

asset pricingequilibriumfinancialisationintegration

Mathematics Subject Classification ID

Financial markets (91G15) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

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• A feedback model for the financialization of commodity markets
• Analysis of market weights under volatility-stabilized market models
• Asset Prices in an Exchange Economy
• Atlas models of equity markets
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• scientific article; zbMATH DE number 5354344 (Why is no real title available?)
• scientific article; zbMATH DE number 3814037 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• Institutional investors and the dependence structure of asset returns
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Polynomial diffusions and applications in finance
• Polynomial jump-diffusion models
• Polynomial processes in stochastic portfolio theory
• Rare Disasters and Exchange Rates *
• Relative arbitrage in volatility-stabilized markets
• The Lucas orchard

Cited in

(6)

• Financial integration, savings gluts, and asset price booms
• Integration of Trans-Atlantic Capital Markets, 1790–1845*
• MARKET SEGMENTATION AND NOISE TRADER RISK
• Matrix calculations for moments of Markov processes
• Asset pricing with consumption-dividend cointegration
• General equilibrium with unhedgeable fundamentals and heterogeneous agents

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