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The Relevance of Extrinsic Uncertainty.
Polemarchakis, H; Ventura, L - Center for Operations Research and Econometrics (CORE), … - 1995
Extrinsic uncertainty is effective at a competitive equilibrium. This is generic if spot markets are inoperative: the only objects of exchange are assets for the contingent delivery of commodities; and the asset market is incomplete. The structure of payoffs of assets may allow for non-trivial...
Persistent link: https://www.econbiz.de/10005207637
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Risk Sharing in Highly Incomplete Markets : The Role of Insurance Companies
Goussebaïle, Arnaud - 2018
implement risk management in the real world …
Persistent link: https://www.econbiz.de/10012908638
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Risk Allocation and Financial Intermediation
Goussebaïle, Arnaud - 2021
framework while still obtaining Pareto optimality. In the framework developed, the aggregate risk components of individual risks … are exchanged through a highly reduced set of nonspecific securities, while the idiosyncratic risk components are insured …
Persistent link: https://www.econbiz.de/10013212181
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On bankruptcy in general equilibrium with uncertainty
Ritzberger, Klaus; Tsomocos, Dimitrios P. - In: Journal of economic theory : JET 218 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10015070875
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Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin.
Browne, S. - Graduate School of Business, Columbia University - 1995
Persistent link: https://www.econbiz.de/10005776708
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Arbitrage-Based Pricing When Volatility is Stochastic.
Bossaerts, P.; Ghysels, E.; Gourieroux, C. - 1996
This paper studies the implications of absence of arbitrage in economies where: (i) trade takes place in transaction time, (ii) there is a single state variable whose transaction-time price path is binomial, (iii) there are riskfree bonds with calendar-time maturities, and (iv) the relation...
Persistent link: https://www.econbiz.de/10005641179
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Imperfect Competition and Firm Efficiency: a General Equilibrium Approach.
Pompermaier, A. - Fächergruppe Volkswirtschaftslehre, Helmut Schmidt … - 2000
This paper presenta a general equilibrium model of imperfect competition in which firm efficiency depends on the level … of product market competition. X-efficiency is shown to arise to the extent unions directly affect the level of … to be not necessarily increasing in the degree of competition and lower total employment may lead to higher output and …
Persistent link: https://www.econbiz.de/10005661012
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Liquidity as an Investment Style
Ibbotson, Roger G. - 2013
We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of...
Persistent link: https://www.econbiz.de/10013093548
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Dynamic Equilibrium of a Market and Corporate Strategies - A Game Theoretic Approach
Waśniewski, Krzysztof - 2009
The present paper introduces a model of dynamic equilibrium in a market, based on game theoretic approach, with specific development for capital markets and corporate strategies. The model allows to study some aspects of structural change in markets, both its dynamics and qualitative aspects. An...
Persistent link: https://www.econbiz.de/10013159928
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Fiancial Innovation, Structuring and Risk Transfer
Vanini, Paolo - Volkswirtschaftliche Fakultät, … - 2012
, Green Banking, Demographic Risk Financial Crisis: Overview Leverage, Systemic Risk, Securitization, Pricing …
Persistent link: https://www.econbiz.de/10011109326