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Asset pricing with index investing

Chabakauri, Georgy; Ryčkov, Oleg - In: Journal of financial economics 141 (2021) 1, pp. 195-216

Persistent link: https://www.econbiz.de/10012872622

Financial innovation from a general equilibrium perspective

Bettzüge, Marc Oliver - 1997

Persistent link: https://www.econbiz.de/10000962200

On equilibrium prices in continuous time

Martins-da-Rocha, Victor Filipe (contributor); … - 2008

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about … equilibrium state prices. -- General equilibrium ; Continuous-time finance ; Théorie générale of stochastic processes ; Asset …

Persistent link: https://www.econbiz.de/10003729456

Handbook of financial markets : dynamics and evolution

Hens, Thorsten (ed.); … - 2009

Persistent link: https://www.econbiz.de/10003778106

On equilibrium prices in continuous time

Martins-da-Rocha, Victor Filipe; Riedel, Frank - In: Journal of economic theory 145 (2010) 3, pp. 1086-1112

Persistent link: https://www.econbiz.de/10008697123

Endogenous completeness of diffusion driven equilibrium markets

Hugonnier, Julien; Malamud, Semyon; Trubowitz, Eugene - 2009

We study the existence of equilibria with endogenously complete markets in a continuous-time, heterogenous agents economy driven by a multidimensional diffusion process. Our main results show that if prices are real analytic as functions of time and the state variables of the model then a...