An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information

DOI10.2307/1911159zbMATH Open0611.90035OpenAlexW2021539219MaRDI QIDQ3751330FDOQ3751330

Authors: Chi-fu Huang 

Publication date: 1987

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911159

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zbMATH Keywords

diffusion processequilibrium price systemrepresentative agentpure exchange economymartingale representation techniqueequilibrium portfolio policieshedging mutual fundsstate variable processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Dynamic programming (90C39) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Cited In (43)

• Multifrequency jump-diffusions: An equilibrium approach
• Closing the GARCH gap: Continuous time GARCH modeling
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• On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis
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• Existence of financial equilibria in continuous time with potentially complete markets
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• Complete and incomplete financial markets in multi-good economies
• Asset pricing for general processes
• Title not available (Why is that?)
• Continuous-time security pricing. A utility gradient approach
• Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty
• EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL¹
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• A jump model for fads in asset prices under asymmetric information
• A class of models satisfying a dynamical version of the CAPM
• Pricing continuously resettled contingent claims
• Asset equilibria in \(L^ p\) spaces with complete markets: A duality approach
• A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
• Heterogeneity in capital and skills in a neoclassical stochastic growth model
• Labor income, borrowing constraints, and equilibrium asset prices
• Optimal consumption and portfolio choice with borrowing constraints
• A term structure model with preferences for the timing of resolution of uncertainty
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Effects of financial innovations on market volatility when beliefs are heterogeneous
• A martingale theory of asset pricing in a production economy
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• IMPLEMENTING ARROW–DEBREU EQUILIBRIA IN APPROXIMATELY COMPLETE SECURITY MARKETS
• A comparative study of portfolio insurance.
• Arbitrage and control problems in finance. A presentation
• Smooth infinite economies
• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• Existence, uniqueness and determinacy of Arrow-Debreu equilibria in finance models
• Equilibrium Models With Singular Asset Prices
• Equilibrium asset prices and exchange rates
• Generic non-existence of equilibria in finance models
• The information content of lagged equity and bond yields
• An Intertemporal General Equilibrium Model of Asset Prices
• Heterogeneous information arrival and option pricing
• Special issue: Arbitrage and control problems in finance
• A martingale characterization of equilibrium asset price processes
• Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying¹

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