Optimality conditions and bubbles in sequential economies and bounded relative risk-aversion
type: Item
instance of: scholarly article
title: Optimality conditions and bubbles in sequential economies and bounded relative risk-aversion
zbMATH Open document ID: 1060.91049
author: Arianna Dal Forno
author: Luigi Montrucchio
published in: Decisions in Economics and Finance
publication date: 2003-08-06T00:00:00Z
review text: The authors consider the infinite horizon economy in the framework adopted by \textit{T. Kamihigashi} [Econ. Theory 12, No.1, 103--122 (1998; Zbl 0909.90072)] and \textit{L.Montrucchio} and \textit{F. Privileggi} [J. Econ. Theory 101, 158--188 (2001; Zbl 1006.91034)]. The individual optimal decisions of an infinitely-lived agent in the light of short-run optimality conditions, known as stochastic Euler equation, as well as of long-run type, which are usually known as transversality conditions, are analyzed. The occurrence of pricing bubbles is investigated. New results generalizing the well-known and going deeply into the problem are obtained under suitable conditions. Several examples of bubbles to illustrate the results and underline the importance of adopted assumptions are given.
Mathematics Subject Classification ID: 91B26
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B42
zbMATH DE Number: 1960711
zbMATH Keywords: infinite horizon economy
zbMATH Keywords: stochastic equilibrium
zbMATH Keywords: pricing bubbles
reviewed by: Ernst G. Al'brekht
MaRDI profile type: MaRDI publication profile
full work available at URL: s102030300003
OpenAlex ID: W2087922843
DOI: 10.1007/S102030300003
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description: scientific article; zbMATH DE number 1960711