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Comment on 'Competitive Equilibria of Economies with a Continuum of Consumers and Aggregate Shocks' by J. Miao

Cheridito, Patrick - 2016

The paper "Competitive equilibria of economies with a continuum of consumers and aggregate shocks" by J. Miao provides an in-depth analysis of dynamic models of the economy with a continuum of agents and aggregate productivity shocks. In Section 3 the existence of a sequential competitive...

Persistent link: https://www.econbiz.de/10012986027

Existence of Sequential Competitive Equilibrium in Krusell–Smith Type Economies

Cheridito, Patrick - 2016

In this paper, we give a proof of existence of sequential competitive equilibrium in Krusell-Smith type economies with different kinds of agents, taxes, unemployment insurance, and endogenous labor choice. We also provide a formal construction of a family of shock processes exhibiting...

Persistent link: https://www.econbiz.de/10012989168

Market distortions and local indeterminacy : a general approach

Lloyd-Braga, Teresa; Modesto, Leonor; Seegmuller, Thomas - 2011

We provide a methodology to study the role of market distortions on the emergence of indeterminacy and bifurcations. Most of the specific market imperfections considered in the related literature are particular cases of our framework. Comparing them we obtain several equivalence results in terms...

Persistent link: https://www.econbiz.de/10009235089

Optimal Investment, Derivative Demand and Arbitrage Under Price Impact

Anthropelos, Michail - 2018

neither closed nor convex. Regarding hedging, non-linear hedging costs motivate the study of arbitrage free prices for the … of price impact. Additionally, we show arbitrage opportunities, should they arise from claim prices, can be exploited … only for limited position sizes, and may be ignored if outweighed by hedging considerations. We also show that arbitrage …

Persistent link: https://www.econbiz.de/10012906898

Derivative Segment Exposure of Arbitrage Mutual Funds

Manda, Vijaya Kittu - 2020

positive correlation between the equity and derivative holdings of mutual fund schemes against the Nifty Arbitrage 50 Index and … – the Securities and Exchange Board of India (SEBI) are making Arbitrage funds get attention. Low risk, attractive tax … their arbitrage schemes with a minimum of 65 percent exposure to equity and equity-equivalent exposure to explore arbitrage …

Persistent link: https://www.econbiz.de/10012825502

Market Fragmentation and Contagion

Rahi, Rohit - 2020

. In addition to this direct effect through the arbitrage network, there is a feedback effect of an adverse shock reducing …

Persistent link: https://www.econbiz.de/10012826258

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

Equilibrium pricing in incomplete markets under translation invariant preferences

Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; … - 2011

We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading constraints. In the special case where all agents have preferences of the...

Persistent link: https://www.econbiz.de/10010281519

Quantitative finance : its development, mathematical foundations, and current scope

Epps, Thomas W. - 2009

Persistent link: https://www.econbiz.de/10003756274

Risikominimierung in Finanzmärkten unter Berücksichtigung von Transaktionskosten

Beutner, Eric - 2005

Persistent link: https://www.econbiz.de/10002896461