An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
From MaRDI portal
Publication:3751330
DOI10.2307/1911159zbMath0611.90035OpenAlexW2021539219MaRDI QIDQ3751330
Publication date: 1987
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1911159
diffusion processequilibrium price systemrepresentative agentpure exchange economymartingale representation techniqueequilibrium portfolio policieshedging mutual fundsstate variable processes
Microeconomic theory (price theory and economic markets) (91B24) Dynamic programming (90C39) Economic growth models (91B62) Diffusion processes (60J60)
Related Items
A term structure model with preferences for the timing of resolution of uncertainty ⋮ Labor income, borrowing constraints, and equilibrium asset prices ⋮ Stochastic equilibrium discounting ⋮ Equilibrium asset prices and exchange rates ⋮ Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty ⋮ Contingent claims valuation when the security price is a combination of an Itō process and a random point process ⋮ Heterogeneous information arrival and option pricing ⋮ Asset equilibria in \(L^ p\) spaces with complete markets: A duality approach ⋮ Optimal consumption and portfolio policies when asset prices follow a diffusion process ⋮ Smooth infinite economies ⋮ Closing the GARCH gap: Continuous time GARCH modeling ⋮ Effects of financial innovations on market volatility when beliefs are heterogeneous ⋮ Optimal consumption and portfolio choice with borrowing constraints ⋮ A class of models satisfying a dynamical version of the CAPM ⋮ Existence of financial equilibria in continuous time with potentially complete markets ⋮ Complete and incomplete financial markets in multi-good economies ⋮ IMPLEMENTING ARROW–DEBREU EQUILIBRIA IN APPROXIMATELY COMPLETE SECURITY MARKETS ⋮ Equilibrium Models With Singular Asset Prices ⋮ Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case ⋮ Multifrequency jump-diffusions: An equilibrium approach ⋮ Long-run risk and hidden growth persistence ⋮ Pricing continuously resettled contingent claims ⋮ Arbitrage and control problems in finance. A presentation ⋮ Equilibrium in a stochastic model with consumption, wages and investment ⋮ Special issue: Arbitrage and control problems in finance ⋮ Heterogeneity in capital and skills in a neoclassical stochastic growth model ⋮ Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy ⋮ Unnamed Item ⋮ On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis ⋮ EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1 ⋮ A YIELD‐FACTOR MODEL OF INTEREST RATES ⋮ Asset pricing for general processes ⋮ A comparative study of portfolio insurance. ⋮ Generic non-existence of equilibria in finance models ⋮ Existence, uniqueness and determinacy of Arrow-Debreu equilibria in finance models ⋮ A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk ⋮ Continuous-time security pricing. A utility gradient approach
