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Approximating equilibria with ex-post heterogeneity and aggregate risk

Pröhl, Elisabeth - 2017

Dynamic stochastic general equilibrium models with ex-post heterogeneity due to idiosyncratic risk have to be solved numerically. This is a nontrivial task as the cross-sectional distribution of endogenous variables becomes an element of the state space due to aggregate risk. Existing global...

Persistent link: https://www.econbiz.de/10011875645

Radner equilibria under ambiguous volatility

Beißner, Patrick - 2013

The present paper considers a class of general equilibrium economics when the primitive uncertainty model features uncertainty about continuous-time volatility. This requires a set of mutually singular priors, which do not share the same null sets. For this setting we introduce an appropriate...

Persistent link: https://www.econbiz.de/10010212527

Coherent price systems and uncertainty-neutral valuation

Beißner, Patrick - 2012

We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible … mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage … equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove …

Persistent link: https://www.econbiz.de/10009512789

Coherent price systems and uncertainty-neutral valuation : conference paper

Beißner, Patrick - 2013 - This version: 28 February, 2013

We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … uncertainty. With a standard probabilistic model, essential equivalence between the absence of arbitrage and the existence of an … martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of …

Persistent link: https://www.econbiz.de/10010338399

The financial origins of non-fundamental risk

Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R - 2021

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets...

Persistent link: https://www.econbiz.de/10012705247

Risk Allocation and Financial Intermediation

Goussebaïle, Arnaud - 2021

The classic Arrow-Debreu framework requires a very large number of specific securities to reach Pareto optimality. The present paper shows that financial intermediation can play an important role in maintaining a more parsimonious market framework while still obtaining Pareto optimality. In the...

Persistent link: https://www.econbiz.de/10013212181

Viability and arbitrage under Knightian Uncertainty

Burzoni, M.; Riedel, Florian; Soner, Halil Mete - 2017

, we discuss the absence of arbitrage, its relation to economic viability, and the existence of suitable nonlinear pricing …

Persistent link: https://www.econbiz.de/10011697263

Viability and arbitrage under Knightian uncertainty

Burzoni, Matteo; Riedel, Frank; Soner, Halil Mete - 2017

, we discuss the absence of arbitrage, its relation to economic viability, and the existence of suitable nonlinear pricing …

Persistent link: https://www.econbiz.de/10011874707

Risk aversion heterogeneity, risky jobs and wealth inequality

Cozzi, Marco - 2011

This paper considers the macroeconomic implications of a set of empirical studies finding a high degree of dispersion in preference heterogeneity. It develops a model with both uninsurable idiosyncratic income risk and risk aversion heterogeneity to quantify their effects on wealth inequality....

Persistent link: https://www.econbiz.de/10009683671

Fundamental theorem of asset pricing with acceptable risk in markets with frictions

Arduca, Maria; Munari, Cosimo-Andrea - In: Finance and stochastics 27 (2023) 3, pp. 831-862

Persistent link: https://www.econbiz.de/10014328991

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