Rational asset pricing bubbles and portfolio constraints
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- scientific article; zbMATH DE number 1667417 (Why is no real title available?)
- scientific article; zbMATH DE number 1817636 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- scientific article; zbMATH DE number 3088518 (Why is no real title available?)
- An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy*
- Bounded Rationality and Asset Pricing with Intermediate Consumption*
- Complications with stochastic volatility models
- Convex duality in constrained portfolio optimization
- Diversity and relative arbitrage in equity markets
- Endogenous completeness of diffusion driven equilibrium markets
- Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
- Martingales and stochastic integrals in the theory of continuous trading
- Multiplicity in general financial equilibrium with portfolio constraints
- On optimal arbitrage
- On trees and logs
- Optimal Dynamic Trading Strategies with Risk Limits
- Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
- Rational Asset Pricing Bubbles
- Rational equilibrium asset-pricing bubbles in continuous trading models
- Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
- The Role of Portfolio Constraints in the International Propagation of Shocks
- The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes
Cited in
(36)- Uniqueness in Cauchy problems for diffusive real-valued strict local martingales
- Existence of an equilibrium with limited participation
- Asset pricing in an imperfect world
- On aggregation and representative agent equilibria
- Asset price bubbles, market liquidity, and systemic risk
- Optimism, pessimism and financial bubbles
- Financial asset price bubbles under model uncertainty
- Bubbles and constraints on debt accumulation
- The simplest rational greater-fool bubble model
- Informational efficiency under short sale constraints
- Concavity, stochastic utility, and risk aversion
- On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets
- Robust pricing and hedging under trading restrictions and the emergence of local martingale models
- Bubbles and trading in incomplete markets
- Rational asset pricing bubbles and debt constraints
- Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles
- Status seeking and bubbles
- Ascendant altruism and asset price bubbles
- A CAPM with trading constraints and price bubbles
- Asset bubbles and borrowing constraints
- The Formation of Financial Bubbles in Defaultable Markets
- On the positive fundamental value of money with short-sale constraints
- Equilibrium pricing in incomplete markets under translation invariant preferences
- On the dynamics of stock price bubbles: comments on a model by Miao and Wang
- An example of a stochastic equilibrium with incomplete markets
- Rational equilibrium asset-pricing bubbles in continuous trading models
- Consumption and bubbles
- Robust asset prices with bubbles
- Trading Constraints in Continuous-Time Kyle Models
- A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory
- Rational Asset Pricing Bubbles
- Portfolio constraints, differences in beliefs and bubbles
- Filtration shrinkage, strict local martingales and the Föllmer measure
- Price impact in Nash equilibria
- Real indeterminacy and dynamics of asset price bubbles in general equilibrium
- A note on effects of rational bubble on portfolios
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