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Controlling price volatility through financial innovation
Citanna, Alessandro; Schmedders, Karl - 2002
possibility of controlling asset price volatility through financial innovation. We first give sufficient conditions on preferences … and endowments implying that whatever is the innovation which completes markets, it also reduces volatility, typically in … outside this class, of financial innovation which decreases equilibrium price volatility. The existence is obtained under …
Persistent link: https://www.econbiz.de/10010282792
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Controlling price volatility through financial innovation
Alessandro, CITANNA; SCHMEDDERS, Karl - HEC Paris (École des Hautes Études Commerciales) - 2002
In this paper, the authors study the possibility of controlling asset price volatility through financial innovation in …
Persistent link: https://www.econbiz.de/10005041795
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Are Sunspots Inevitable?
Prechac, Christophe; Goenka, Aditya - Econometric Society - 2004
This paper examines the welfare of consumers in an incomplete markets economy with extrinsic uncertainty. It is shown that the utility of one consumer may be minimized at the Walrasian allocation relative to all other equilibrium allocations for a given security structure. Thus, this consumer...
Persistent link: https://www.econbiz.de/10005702723
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The financial origins of non-fundamental risk
Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R. - 2022 - Last updated: January 14, 2022
against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices …
Persistent link: https://www.econbiz.de/10012798791
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The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model
Niehaus, Frank - Universität <Hannover> / Fachbereich … - 2001
In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond.
Persistent link: https://www.econbiz.de/10005840945
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The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model
Niehaus, Frank - Center for Nonlinear Dynamics in Economics and Finance … - 2001
In this paper, we examine an exchange economy with a financial market composed of three assets: shares of a stock, European call options written on the stock, and riskless bonds. The financial market is assumed to be incomplete and the option is not a redundant asset. In such a case the...
Persistent link: https://www.econbiz.de/10005823310
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Long-run heterogeneity in an exchange economy with fixed-mix traders
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2015
We consider an exchange economy with heterogeneous agents and multiple assets and investigate the coupled dynamics of assets' prices and agents' wealth. We assume that agents have heterogeneous beliefs and invest on each asset a fraction of wealth proportional to its expected dividends. Our main...
Persistent link: https://www.econbiz.de/10011564737
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The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model
Niehaus, Frank - 2001
In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond. The financial market is assumed to be incomplete and the option is not a redundant asset. In such a case the...
Persistent link: https://www.econbiz.de/10010317575
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The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model
Niehaus, Frank - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2001
In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond. The financial market is assumed to be incomplete and the option is not a redundant asset. In such a case the...
Persistent link: https://www.econbiz.de/10005464663
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The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model
Niehaus, Frank - Society for Computational Economics - SCE - 2001
In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond. The financial market is assumed to be incomplete and the option is not a redundant asset. In such a case the...
Persistent link: https://www.econbiz.de/10005345558