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
general equilibrium theorycontinuous-time financedynamic completenessconvergence of discrete-time finance models
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