Rational asset pricing bubbles and portfolio constraints
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Publication:694734
DOI10.1016/J.JET.2012.05.003zbMATH Open1258.91074OpenAlexW3121938912MaRDI QIDQ694734FDOQ694734
Authors: J. Hugonnier 
Publication date: 13 December 2012
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jet.2012.05.003
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Cited In (34)
- Asset pricing in an imperfect world
- On aggregation and representative agent equilibria
- Optimism, pessimism and financial bubbles
- Asset price bubbles, market liquidity, and systemic risk
- 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
- Ascendant altruism and asset price bubbles
- Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles
- Status seeking and bubbles
- A CAPM with trading constraints and price bubbles
- The Formation of Financial Bubbles in Defaultable Markets
- Asset bubbles and borrowing constraints
- On the positive fundamental value of money with short-sale constraints
- Equilibrium pricing in incomplete markets under translation invariant preferences
- An example of a stochastic equilibrium with incomplete markets
- Rational equilibrium asset-pricing bubbles in continuous trading models
- Consumption and bubbles
- Trading Constraints in Continuous-Time Kyle Models
- Robust asset prices with bubbles
- A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory
- Filtration shrinkage, strict local martingales and the Föllmer measure
- Portfolio constraints, differences in beliefs and bubbles
- Price impact in Nash equilibria
- Uniqueness in Cauchy problems for diffusive real-valued strict local martingales
- Real indeterminacy and dynamics of asset price bubbles in general equilibrium
- A note on effects of rational bubble on portfolios
- Existence of an equilibrium with limited participation
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