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Radner equilibria under ambiguous volatility

Beißner, Patrick - 2013

alters to an endogenous property. Only mean unambiguous claims equivalently satisfying the classical martingale …

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

Continuous equilibrium under base preferences and attainable initial endowments

Horst, Ulrich; Kupper, Michael; Macrina, Andrea; … - 2011

We consider a full equilibrium model in continuous time comprising a finite number of agents and tradable securities.We show that, if the agents' endowments are spanned by the securities and if the agents have entropic utilities, an equilibrium exists and the agents' optimal trading strategies...

Persistent link: https://www.econbiz.de/10009379446

Coherent price systems and uncertainty-neutral valuation

Beißner, Patrick - 2012

and the existence of an equivalent martingale measure is a folk theorem, see Harrison and Kreps (1979). We establish a … equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove … price systems ; arbitrage ; equivalent symmetric martingale measures set (EsMM set) ; symmetric martingales ; Girsanov for G …

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

Proportional Transaction Costs on Asset Trades : A Note on Existence by Homotopy Methods

Citanna, Alessandro - 2013

Persistent link: https://www.econbiz.de/10014035956

Estimation of Jump Tails

Bollerslev, Tim - 2011

We propose a new and flexible non-parametric framework for estimating the jump tails of Itô semimartingale processes. The approach is based on a relatively simple-to-implement set of estimating equations associated with the compensator for the jump measure, or its "intensity", that only...

Persistent link: https://www.econbiz.de/10013133664

Estimation of Jump Tails

Bollerslev, Tim - 2010

Persistent link: https://www.econbiz.de/10013144212

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...

Persistent link: https://www.econbiz.de/10003971255

Endogenous indeterminacy and volatility of asset prices under ambiguity

Mandler, Michael - In: Theoretical economics : TE ; an open access journal in … 8 (2013) 3, pp. 729-750

If agents are ambiguity-averse and can invest in productive assets, asset prices can robustly exhibit indeterminacy in the markets that open after the productive investment has been launched. For indeterminacy to occur, the aggregate supply of goods must appear in precise configurations but the...

Persistent link: https://www.econbiz.de/10011685225

Performance Measurement for Option Portfolios in a Stochastic Volatility Framework

Baule, Rainer - 2019

Measuring the performance of stock portfolios that include options is challenging due to options' nonlinearity in the underlying, their exposure to volatility risk, and their time decay. Our contribution to the literature is twofold: First, we provide a theoretically rigorous derivation of the...

Persistent link: https://www.econbiz.de/10012900121

Coherent price systems and uncertainty-neutral valuation : conference paper

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

equivalent martingale measure is a folk theorem, see Harrison and Kreps (1979). We establish a microeconomic foundation of … 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

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