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The perfect foresight assumption revisited : the existence of sequential equilibrium with price uncertainty.
Boisdeffre, Lionel De - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
-called "correct foresights equilibrium" was characterized by the no-arbitrage condition of finance. We now extend this result to the …
Persistent link: https://www.econbiz.de/10004988959
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A price uncertainty principle and the existence of sequential equilibrium : (I) a numerical example.
Boisdeffre, Lionel de - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
equilibrium is still characterized by the no-arbitrage condition. …
Persistent link: https://www.econbiz.de/10008622003
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A price uncertainty principle and the existence of sequential equilibrium.
Boisdeffre, Lionel de - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009
so correct, we prove the existence of a sequential equilibrium is still characterized by the no-arbitrage condition. …
Persistent link: https://www.econbiz.de/10008622015
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Dynamic Equilibrium with Liquidity Constraints
Detemple, Jérôme B.; Serrat, Angel - Centre Interuniversitaire de Recherche en Analyse des … - 1998
We consider an intertemporal economy with liquidity constrained and unconstrained individuals. A liquidity constraint prevents marketability of future income and thus endogenously generates market incompleteness. In contrast with the existing literature on portfolio constraints, our liquidity...
Persistent link: https://www.econbiz.de/10005100526
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Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data
Jacobs, Kris; Pallage, Stephane; Robe, Michel A. - Centre Interuniversitaire de Recherche en Analyse des … - 2004
This paper investigates the importance of market incompleteness by comparing the rates of risk aversion estimated from complete and incomplete markets environments. For the incomplete-markets case, we use consumption data for 50 U.S. states. While the use of state-level data is conceptually...
Persistent link: https://www.econbiz.de/10005100849
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Modèles statistiques de valorisation par arbitrage
Clément, Emmanuelle; Gouriéroux, Christian; Monfort, Alain - 1993
Persistent link: https://www.econbiz.de/10000856380
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Prevision de mesures de prix contingents
Clément, Emmanuelle; Gouriéroux, Christian; Monfort, Alain - 1993
Persistent link: https://www.econbiz.de/10000869422
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Effets "volume" volatilité et transmissions internationales sur les marchés boursiers dans le G5
Avouyi-Dovi, Sanvi; Jondeau, Eric; Lai-Tong, Charles - 1997
Persistent link: https://www.econbiz.de/10000958857
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The capacity of trading strategies
Landier, Augustin; Simon, Guillaume; Thesmar, David - 2015
Due to non-linear transaction costs, the fi nancial performance of a trading strategy decreaseswith portfolio size. Using a dynamic trading model a la Garleanu and Pedersen (2013), wederive closed-form formulas for the performance-to-scale frontier reached by competitive tradersendowed with a...
Persistent link: https://www.econbiz.de/10011327200
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Toxic arbitrage
Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - 2015
Short lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they … expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities … triangular arbitrage. As predicted, illiquidity is higher on days when the fraction of toxic arbitrage opportunities and …
Persistent link: https://www.econbiz.de/10010499534