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We present a continuous time overlapping generations model for an endowment Arrow-Debreu economy with an age-structured population. For an economy with a balanced growth path, we prove that Arrow-Debreu equilibrium prices exist, and their dynamic properties are age-dependent. Our model allows...
Persistent link: https://www.econbiz.de/10005619861
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 pricing ; State prices
Persistent link: https://www.econbiz.de/10003729456
Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law invariance and comonotonic additivity, then we get a...
Persistent link: https://www.econbiz.de/10003435485
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
This article shows that the presence of portfolio constraints can give rise to rational asset pricing bubbles in equilibrium even if there are unconstrained agents in the economy who can bene t from the corresponding limited arbitrage opportunities. Furthermore, it is shown that when they are...
Persistent link: https://www.econbiz.de/10003966068
This paper introduces endogenous preference evolution into a Lucas-type economy and explores its consequences for investors' trading strategy and the dynamics of asset prices. In equilibrium, investors herd and hold the same portfolio of risky assets which is biased toward stocks of sectors that...
Persistent link: https://www.econbiz.de/10011440209
We develop a model that reproduces the return and volatility spread between sin and non-sin stocks, where investors trade off dividends with the ethical assessment of companies. We relax the assumption of boycott behaviour and investigate the role played by the dividend share of sin stocks on...
Persistent link: https://www.econbiz.de/10011724677
We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on equity markets, consumption and portfolio choices. When agents are more...
Persistent link: https://www.econbiz.de/10011698927
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
We develop a model that reproduces the average return and volatility spread between sin and non-sin stocks. Our investors do not necessarily boycott sin companies. Rather, they are open to invest in any company while trading off dividends against ethicalness. We show that when dividends and...
Persistent link: https://www.econbiz.de/10011867480