Showing 1 - 5 of 5
A new theory of inter-temporal equilibrium for security markets in a continuous time setting with Brownian Filtrations is developed. A simple characterization of equilibrium when agents maximize a state dependent utility functional, as proposed in Londoño [30] is given, and this approach can be...
Persistent link: https://www.econbiz.de/10013026002
We propose a family of models for the evolution of the price process S(t) of a financial market. We prove that this family of models is well defined in the sense that the SDEs that define each model have unique non-explosive solutions; we prove that each model from this family is free of...
Persistent link: https://www.econbiz.de/10013026005
We define an inter-temporal Duesemberry Equilibrium where agents are rational agents that optimize their consumption and investment decisions with respect to the relative incomes of their peers (relative income hypothesis). We characterize these markets, provide existence and uniqueness when a...
Persistent link: https://www.econbiz.de/10013026026
Persistent link: https://www.econbiz.de/10012173279
We address the problem of optimal consumption and investment for agents with mortality risk in a complete financial market. We achieve the optimization on a functional on the utility of consumption and bequest discounted by the state price process as proposed by Londono [25]. We introduce live...
Persistent link: https://www.econbiz.de/10014353885