Anufriev, Mikhail; Bottazzi, Giulio - In: Journal of Mathematical Economics 46 (2010) 6, pp. 1140-1172
Abstract We analyze the endogenous price formation mechanism of a pure exchange economy with two assets, riskless and risky. The economy is populated by an arbitrarily large number of traders whose investment choices are described by means of generic smooth functions of past realizations. These...