Capital asset pricing in an overlapping generations model

DOI10.1016/0022-0531(84)90088-7zbMath0548.90012OpenAlexW2092038881MaRDI QIDQ799463

Gur Huberman

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1016/0022-0531(84)90088-7

zbMATH Keywords

overlapping generationsasymmetric informationMarkov processcapital asset pricingequilibrium behavior of prices

Mathematics Subject Classification ID

Economic growth models (91B62) Financial applications of other theories (91G80)

Related Items (5)

Markov rational expectations equilibria in an overlapping generations model ⋮ Existence and local uniqueness of functional rational expectations equilibria in dynamic economic models ⋮ THE POLITICAL ECONOMY OF ENVIRONMENTAL POLICY WITH OVERLAPPING GENERATIONS ⋮ Intrinsic bubbles and asset price volatility ⋮ Optimality of Stationary Asset Equilibria Under A Stochastic Inflation Tax

Cites Work

• Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices
• The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities
• Asset Prices in an Exchange Economy
• An intertemporal asset pricing model with stochastic consumption and investment opportunities

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