Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets

From MaRDI portal
Publication:3521270


DOI10.1111/j.1468-0262.2008.00861.xzbMath1141.91587OpenAlexW2103691839MaRDI QIDQ3521270

Robert M. Anderson, Roberto C. Raimondo

Publication date: 21 August 2008

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://escholarship.org/uc/item/0zq6v5gd



Related Items

Equilibrium Pricing Under Relative Performance Concerns, Integration with filters, Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality, Radner equilibrium in incomplete Lévy models, The financial market: not as big as you think, Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty, Cross-sectional asset pricing with heterogeneous preferences and beliefs, Quasi-analytic solutions of linear parabolic equations, Hyperfinite construction of G-expectation, Existence of financial equilibria in continuous time with potentially complete markets, On securitization, market completion and equilibrium risk transfer, Complete and incomplete financial markets in multi-good economies, Existence of an equilibrium with limited participation, Loeb extension and Loeb equivalence II, The Role of (Quasi) Analyticity in Establishing Completeness of Financial Markets Equilibria, Integral representation of martingales motivated by the problem of endogenous completeness in financial economics, Space-time analyticity of weak solutions to linear parabolic systems with variable coefficients, Duesenberry Equilibrium and Heterogenous Agents, The individualistic foundation of equilibrium distribution, First steps towards an equilibrium theory for Lévy financial markets, Existence of an endogenously complete equilibrium driven by a diffusion, Dynamically complete markets under Brownian motion, Market completion with derivative securities, Multifrequency jump-diffusions: An equilibrium approach, On aggregation and representative agent equilibria, An example of a stochastic equilibrium with incomplete markets, On equilibrium prices in continuous time, In search of statistically valid risk factors, The invariant distribution of wealth and employment status in a small open economy with precautionary savings, The completeness and incompleteness of financial markets in economies driven by diffusion processes, Loeb extension and Loeb equivalence, Density of the set of probability measures with the martingale representation property, Radner equilibrium and systems of quadratic BSDEs with discontinuous generators, A model for a large investor trading at market indifference prices. I: Single-period case