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Long-run heterogeneity in an exchange economy with fixed-mix traders
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2015
We consider an exchange economy with heterogeneous agents and multiple assets and investigate the coupled dynamics of assets' prices and agents' wealth. We assume that agents have heterogeneous beliefs and invest on each asset a fraction of wealth proportional to its expected dividends. Our main...
Persistent link: https://www.econbiz.de/10011564737
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The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model
Niehaus, Frank - Universität <Hannover> / Fachbereich … - 2001
In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond.
Persistent link: https://www.econbiz.de/10005840945
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The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model
Niehaus, Frank - 2001
unfeasible and therefore the pricing of the assets becomes a simultaneous valuation problem, nonlinearly depending on the … the share and sell the riskless bond. More surprisingly we find that the representative asset-pricing-model overprices the …
Persistent link: https://www.econbiz.de/10010317575
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Controlling price volatility through financial innovation
Citanna, Alessandro; Schmedders, Karl - 2002
In a three-period finite competitive exchange economy with incomplete financial markets and retrading, we study the possibility of controlling asset price volatility through financial innovation. We first give sufficient conditions on preferences and endowments implying that whatever is the...
Persistent link: https://www.econbiz.de/10010282792
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The influence of heterogeneous preferences on asset prices in an incomplete market model
Niehaus, Frank - 2001
unfeasible and therefore the pricing of the assets becomes a simultaneous valuation problem, nonlinearly depending on the … the share and sell the riskless bond. More surprisingly we find that the representative asset-pricing-model overprices the …
Persistent link: https://www.econbiz.de/10011526229
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Long-run heterogeneity in an exchange economy with fixed-mix traders
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2015
We consider an exchange economy with heterogeneous agents and multiple assets and investigate the coupled dynamics of assets' prices and agents' wealth. We assume that agents have heterogeneous beliefs and invest on each asset a fraction of wealth proportional to its expected dividends. Our main...
Persistent link: https://www.econbiz.de/10011386757
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The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model
Niehaus, Frank - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2001
unfeasible and therefore the pricing of the assets becomes a simultaneous valuation problem, nonlinearly depending on the … the share and sell the riskless bond. More surprisingly we find that the representative asset-pricing-model overprices the …
Persistent link: https://www.econbiz.de/10005464663
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On the objective of firms under uncertainty with stock markets.
Bonnisseau, Jean-Marc; Lachiri, Oussama - Maison des Sciences Économiques, Université Paris 1 … - 2004
In a multi-period, multi-commodity economy with stock markets, we try to extend the work of Drèze (1974) to define the behaviour of the firms. We exhibit first order necessary conditions for a constrained Pareto optimal allocation. The financial constraints lead to non-collinear supporting spot...
Persistent link: https://www.econbiz.de/10005670910
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Market Selection and the Absence of Arbitrage
Elmiger, Sabine - 2021
A central conjecture of behavioural finance is that arbitrage opportunities appear as a result of systematic irrational … investment behaviour and persist since real-world arbitrage trades actually involve costs and risks due to market frictions and … non-fundamental risk. This paper shows that the no-arbitrage condition can emerge from the market selection process even …
Persistent link: https://www.econbiz.de/10013242357
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Stochastic modeling of private equity: an equilibrium based approach to fund valuation
Buchner, Axel; Kaserer, Christoph; Wagner, Niklas - 2006
-root process is applied to model the rate at which capital is drawn over time. Applying equilibrium intertemporal asset pricing …
Persistent link: https://www.econbiz.de/10010305730