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Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets

Detemple, Jérôme B.; Gottardi, Piero - Centre Interuniversitaire de Recherche en Analyse des … - 1997

This paper studies the conditions for aggregation, portfolio separation and effective completeness of competitive allocations in general equilibrium models with incomplete markets in which agents have general preference and endowment distributions. We show that these properties are distinct....

Persistent link: https://www.econbiz.de/10005100865

Multiplicity in General Financial Equilibrium with Portfolio Constraints, Second Version

Basak, Suleyman; Cass, David; Licari, Juan Manuel; … - Department of Economics, University of Pennsylvania - 2006

This paper explores the role of portfolio constraints in generating multiplicity of equilibrium. We present a simple financial market economy with two goods and two households, households who face constraints on their ability to take unbounded positions in risky stocks. Absent such constraints,...

Persistent link: https://www.econbiz.de/10005102078

Multiplicity and Sunspots in General Financial Equilibrium with Portfolio Constraints

Basak, Suleyman; Cass, David; Licari, Juan Manuel; … - Department of Economics, University of Pennsylvania - 2006

This paper explores the role of portfolio constraints in generating multiplicity of equilibrium. We present a simple asset market economy with two goods and two households, households who face constraints on their ability to take unbounded positions in risky stocks. Absent such constraints,...

Persistent link: https://www.econbiz.de/10005102095

Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data

Krueger, Dirk; Lustig, Hanno; Perri, Fabrizio - National Bureau of Economic Research (NBER) - 2007

We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption...

Persistent link: https://www.econbiz.de/10005084749

The Arbitrage Pricing Theorem with Incomplete Preferences

Kelsey, David; Yalcin, Erkan - EconWPA - 2004

This paper proves existence of equilibrium and the arbitrage pricing theorem for an asset exchange economy, where the … preferences. We also prove the arbitrage pricing theorem for a theory of choice under uncertainty by Bewley [1986]. These …

Persistent link: https://www.econbiz.de/10005062764

Risk in financial reporting: status, challenges and suggested directions

Borio, Claudio E. V.; Tsatsaronis, Kostas - Bank for International Settlements (BIS) - 2006

Advances in risk measurement technology have reshaped financial markets and the functioning of the financial system. More recently, they have been reshaping the prudential framework. Looking forward, they have the potential to reshape financial reporting too. Recent initiatives to improve...

Persistent link: https://www.econbiz.de/10005063372

Multiplicity in General Financial Equilibrium with Portfolio Constraints

Basak, Suleyman; Cass, David; Licari, Juan Manuel; … - C.E.P.R. Discussion Papers - 2006

Persistent link: https://www.econbiz.de/10005067630

Taxing Capital? Not a Bad Idea After All!

Krueger, Dirk; Lustig, Hanno; Perri, Fabrizio - Center for Financial Studies - 2006

We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of the limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption...

Persistent link: https://www.econbiz.de/10005022427

Bulls, Bears and Excess Volatility: can currency intervention help?

Corrado, L.; Miller, M.; Zhang, L. - Faculty of Economics, University of Cambridge - 2007

Asset mis-pricing may reflect investor psychology, with excess volatility arising from switches of sentiment. For a floating exchange rate where fundamentals follow a random walk, we show that excess volatility can be generated by the repeated entry and exit of currency `bulls' and `bears' with...

Persistent link: https://www.econbiz.de/10005647398

A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints

Milne, Frank; Neave, Edwin - Economics Department, Queen's University - 2003

regions of no trade and to bid-ask spreads: their existence frustrate the derivation of standard results in arbitrage …-based pricing. Nevertheless, we are able to obtain as dual characterizations of our primal problems, one-sided arbitrage pricing … Jouini and Kallal (1995) using arbitrage arguments. The paper's framework incorporates a number of specialized existing …

Persistent link: https://www.econbiz.de/10005653103