This paper establishes a theoretical model to examine the LOLR policy when a central bank cannot distinguish between solvent and insolvent banks. We study two cases: a case where the central bank cannot screen insolvent banks and a case where the central bank can only imperfectly screen...

This paper examines the expected utility effects of adding one risk to another. In comparison to related works, it places fewer restrictions on utilities and more structure on risky asset returns. The paper, entailing little loss of generality, uses discrete variables defined on a common domain...

Contingent claims with payoffs depending on finitely many asset prices are modeled as a separable Hilbert space. Under fairly general conditions, including market completeness, it is shown that one may change measure to a reference measure under which asset prices are Gaussian and for which the...

This paper examines stochastic dominance relations among discrete random variables defined on a common integer domain. While these restrictions are minimal, they lead both to new theoretical results and to simpler proofs of existing ones. The new results, obtained for dominance criteria of any...

We consider an economy in which firms' decisions are made by a collective decision of the shareholders. The main result shows that the simultaneous existence of an exchange equilibrium in the market for shares and a voting equilibrium in the internal decisions of firms. We present our results in...

The arbitrage pricing theorem of finance shows that in certain circumstances the price of a financial asset may be written as a linear combination of the prices of certain market factors. This result is usually proved with von Neumann-Morgenstern preferences. In this paper we show that the...

Investors in equilibrium are modeled as facing investor specific risk exposures arising from incomplete diversification of personal risks across the space of assets. Personalized asset pricing models reflect these risks. Averaging across the pool of investors we obtain a market asset pricing...

This paper proves the existence of a general equilibrium in a financial model with transaction costs. The general equilibrium is shown to exist in a model with convex trading technology, in which the agents include consumers, production firms, brokers and dealers. When the trading technology is...

This paper studies the optimal risky investment problem with fewer restrictions on utilities, and more structure on risks, than does the current literature. It uses discrete random variables defined on a common domain, hereafter called standardized variables, to obtain new results without...

In this paper we suggest a new interpretation of non-additive probabilities. We study a decision-maker who follows the Savage axioms. We show the if (s)he is able to take unobservable actions which influence the probabilities of outcomes then it can appear to an outsider as if the his/her...