We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.

Diese Arbeit untersucht die Fragestellung: „Der Terminkurs besitzt eine unverzerrte Prognosefähigkeit für den erwarteten Wechselkurs.“ Diese hypothetische Annahme der unverzerrten Prognosefähigkeit wird in der wissenschaftlichen theoretischen Literatur oft verwendet, in der Regel jedoch...

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 suffi-...

The Kyle (1985) and Back (1992) model of continuous-time asset pricing with asymmetric information is studied. A larger class of price processes is considered, namely price processes that allow the price to depend in a certain way on the path of the market order. A no expected (or inconspicuous...

Robert C. Merton is the School of Management Distinguished Professor of Finance at Massachusetts Institute of Technology, and the John and Natty McArthur University Professor Emeritus at Harvard University. Merton received the Alfred Nobel Memorial Prize in Economic Sciences in 1997 for a new...

We consider exchange economies with a measure space of agents and for which the commodity space is a separable and reflexive Banach lattice. Under assumptions imposing uniform bounds on marginal rates of substitution, positive results on core-Walras equivalence were established in...

This paper analyzes a class of competitive economies with production, incomplete financial markets, and agency frictions. Firms take their production, financing, and contractual decisions so as to maximize their value under rational conjectures. We show that competitive equilibria exist and that...

We study a labor market with finitely many heterogeneous workers and firms to illustrate the decentralized (myopic) blocking dynamics in two-sided one-to-one matching markets with continuous side payments (assignment problems, Shapley and Shubik, 1971). A labor market is unstable if there is at...

We consider exchange economies with a measure space of agents and for which the commodity space is a separable and reflexive Banach lattice. Under assumptions imposing uniform bounds on marginal rates of substitution, positive results on core-Walras equivalence were established in...