Trading constraints penalizing default: A recursive approach

DOI10.1016/J.JMATECO.2006.10.003MaRDI QIDQ2469549zbMATH OpenOpenAlexFDO

Authors Luis H. B. Braido

Publication date 6 February 2008

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2006.10.003

zbMATH Keywords

defaultergodicgeneral equilibriumincomplete marketsMarkovriskstationarytime-homogeneoustrading constraints

Mathematics Subject Classification ID

General equilibrium theory (91B50) Trade models (91B60)

Recommendations

• Ergodic Markov equilibrium with incomplete markets and short sales
• Complete markets with bankruptcy risk and pecuniary default punishments
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Cites work

• Debt Constrained Asset Markets
• Default and efficient debt markets.
• Default and Punishment in General Equilibrium1
• Efficiency, Equilibrium, and Asset Pricing with Risk of Default
• INFINITE HORIZON INCOMPLETE MARKETS WITH A CONTINUUM OF STATES
• Stationary Markov Equilibria

Cited in

(4)

• Selecting a unique competitive equilibrium with default penalties
• Efficiency, Equilibrium, and Asset Pricing with Risk of Default
• Trading Constraints in Continuous-Time Kyle Models
• Complete markets with bankruptcy risk and pecuniary default punishments

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