Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
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Publication:3696809
DOI10.2307/1913211zbMATH Open0576.90014OpenAlexW3124185541MaRDI QIDQ3696809FDOQ3696809
Authors: Chi-fu Huang, Darrell Duffie
Publication date: 1985
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1913211
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- Discounting and divergence of opinion
- Complete and incomplete financial markets in multi-good economies
- OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS
- On equilibrium prices in continuous time
- Interest rate options valuation under incomplete information
- Stochastic equilibria with incomplete financial markets
- Asset market equilibrium in infinite dimensional complete markets
- Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty
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- Optimal consumption and portfolio policies when asset prices follow a diffusion process
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- Long run forward rates and long yields of bonds and options in heterogeneous equilibria
- On the relevance of floating exchange rate policies
- On securitization, market completion and equilibrium risk transfer
- Equilibria in Banach lattices without ordered preferences
- Approximation theorems for stochastic economies with incomplete markets
- Implementing Arrow-Debreu equilibria by trading infinitely-lived securities
- Equilibrium in securities markets with heterogeneous investors and unspanned income risk
- On the Existence of an Arrow-Radner Equilibrium in the Case of Complete Markets. A Remark
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- A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
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- An extension of the Sard-Smale theorem to convex domains with an empty interior
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- An example of a stochastic equilibrium with incomplete markets
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- A variational approach for pricing options and corporate bounds
- THE ENTROPY THEORY OF STOCK OPTION PRICING
- Arrow-Debreu equilibria for rank-dependent utilities
- Asset market equilibrium with short-selling and differential information
- Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty
- Financial equilibrium with non-linear valuations
- Special issue: Arbitrage and control problems in finance
- Equilibrium without uniform conditions
- A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model
- Explicit characterizations of financial prices with history-dependent utility
- Contingent commodities and implementation
- Hedging global environment risks: an option based portfolio insurance
- Portfolio selection with inflation-linked bonds and indexation lags
- Arbitrage pricing with incomplete markets
- Equilibrium prices and trade under ambiguous volatility
- The financial market: not as big as you think
- Existence of Arrow-Radner equilibrium with endogenously complete markets under incomplete information
- Indifference pricing for CRRA utilities
- Learning and Index Option Returns
- Market selection with learning and catching up with the Joneses
- IMPLEMENTING ARROW–DEBREU EQUILIBRIA IN APPROXIMATELY COMPLETE SECURITY MARKETS
- The marginal value of management using stochastic control
- DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT?
- Arbitrage and control problems in finance. A presentation
- Equilibrium Pricing Under Relative Performance Concerns
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