Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles

DOI10.1007/S11579-018-0223-6MaRDI QIDQ2633454zbMATH OpenOpenAlexFDO

Authors Robert A. Jarrow

Publication date 8 May 2019

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11579-018-0223-6

zbMATH Keywords

asset market equilibriumasset price bubblesCCAPMICAPMliquidity riskportfolio constraintssystematic risk

Mathematics Subject Classification ID

Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

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Cites work

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• Financial equilibria in the semimartingale setting: complete markets with withdrawal constraints
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• scientific article; zbMATH DE number 3172146 (Why is no real title available?)
• Incomplete stochastic equilibria with exponential utilities close to Pareto optimality
• Liquidity risk and arbitrage pricing theory
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets
• Optimal investment and contingent claim valuation in illiquid markets
• Radner equilibrium in incomplete Lévy models
• Rational asset pricing bubbles and portfolio constraints
• Taylor approximation of incomplete Radner equilibrium models
• The fundamental theorem of asset pricing for unbounded stochastic processes
• The meaning of market efficiency
• Variational Analysis

Cited in

(5)

• Asset market equilibrium with liquidity risk
• Concavity, stochastic utility, and risk aversion
• A liquidity-based model for asset price bubbles
• A CAPM with trading constraints and price bubbles
• Asset price bubbles, market liquidity, and systemic risk

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