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Equilibria in exchange economies with financial constraints: Beyond the Cass Trick
Triki, Leila; Martins-da-Rocha, Victor-Filipe - Université Paris-Dauphine (Paris IX) - 2004
agents. When portfolios are not constrained Cass [4], Duffie [7] and Florenzano–Gourdel [12] proved that arbitrage … arbitrage-free security prices still fully characterize equilibrium security prices in the more realistic situation where the …
Persistent link: https://www.econbiz.de/10011074101
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Arbitrage pricing and equilibrium pricing : compatibility conditions
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2001
The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …
Persistent link: https://www.econbiz.de/10010707894
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Characterizing the premium at the equilibrium of a reinsurance market with short sale constraints
Bernis, Guillaume; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2001
Persistent link: https://www.econbiz.de/10010707272
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Convergence of the equilibrium prices in a family of financial models
Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2003
necessarily convergence of the arbitrage pricing intervals in that context. We prove here that we have very good convergence …
Persistent link: https://www.econbiz.de/10010861455
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CRRA Utility Maximization under Dynamic Risk Constraints
Moreno-Bromberg, Santiago; Pirvu, Traian A.; … - Université Paris-Dauphine (Paris IX) - 2013
This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete; furthermore, financial assets are modeled by Itô processes....
Persistent link: https://www.econbiz.de/10011171547
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On the existence of approximated equilibria in discontinuous economies
Bich, Philippe - Université Paris-Dauphine (Paris IX) - 2005
In this paper, we prove an existence theorem for approximated equilibria in a class of discontinuous economies. The existence result is a direct consequence of a discontinuous extension of Brouwer’s fixed point Theorem (1912), and is a refinement of several classical results in the standard...
Persistent link: https://www.econbiz.de/10011072233
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On the orientability of the asset equilibrium manifold
Bich, Philippe - Université Paris-Dauphine (Paris IX) - 2006
This paper addresses partly an open question raised in the Handbook of Mathematical Economics about the orientability of the pseudo-equilibrium manifold in the basic two-period General Equilibrium with Incomplete Markets (GEI) model. For a broad class of explicit asset structures, it is proved...
Persistent link: https://www.econbiz.de/10011072967
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On the Different Notions of Arbitrage and Existence of Equilibrium
Dana, Rose-Anne; Le Van, Cuong; Magnien, François - Université Paris-Dauphine (Paris IX) - 1999
standard Negishi's approach. We next compare the different concepts of no-arbitrage that have been used in the literature and … give conditions for equivalence between absence of arbitrage and existence of equilibrium. Lastly, we introduce the concept … of strong unbounded arbitrage and show that the absence of strong unbounded arbitrage implies the compactness of the …
Persistent link: https://www.econbiz.de/10010708721
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Arbitrage and control problems in finance: A presentation
Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2001
price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a …
Persistent link: https://www.econbiz.de/10010708371
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Cross-Market Spillovers with 'Volatility Surprise'
Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2014
This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...
Persistent link: https://www.econbiz.de/10011205314