On fragility of bubbles in equilibrium asset pricing models of Lucas-type

DOI10.1006/jeth.2000.2718zbMath1006.91034OpenAlexW3125914404MaRDI QIDQ5956280

Fabio Privileggi, Luigi Montrucchio

Publication date: 20 February 2002

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/631baf3bd3799e9b6f3c885b0dd1564942ef85d9

zbMATH Keywords

Lucas economypricing equilibriumrisk aversion bubble

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) General equilibrium theory (91B50)

Related Items (8)

Differentiability of the value function without interiority assumptions ⋮ A simple optimality-based no-bubble theorem for deterministic sequential economies with strictly monotone preferences ⋮ Bubble economics ⋮ Portfolio constraints, differences in beliefs and bubbles ⋮ An approach to the absence of price bubbles through state-price deflators ⋮ Stationary bubble equilibria in rational expectation models ⋮ A note on almost sure uniform and complete convergences of a sequence of random variables ⋮ Arbitrage Theory with State-Price Deflators

Cites Work

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• On Existence of Weakly Maximal Programmes in a Multi-Sector Economy
• Equilibrium in dynamic models with an infinity of agents

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