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On equilibrium prices in continuous time

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Author Info

  • Martins-da-Rocha, V. Filipe
  • Riedel, Frank

Abstract

State prices are the fundamental building block for dynamic asset pricing models. We provide here a general continuous-time setup that allows to derive non-trivial structural properties for state-prices from economic fundamentals. To this end, we combine general equilibrium theory and théorie générale of stochastic processes to characterize state prices that lead to continuous price systems on the consumption set. We also show that equilibria with such state prices exist.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 145 (2010)
Issue (Month): 3 (May)
Pages: 1086-1112

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Handle: RePEc:eee:jetheo:v:145:y:2010:i:3:p:1086-1112

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Web page: http://www.elsevier.com/locate/inca/622869

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Keywords: Continuous-time finance Asset pricing State prices General equilibrium Theorie generale of stochastic processes;

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Citations

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Cited by:
  1. Giorgio Ferrari & Jan-Henrik Steg & Frank Riedel, 2013. "Continuous-Time Public Good Contribution under Uncertainty," Working Papers 485, Bielefeld University, Center for Mathematical Economics.
  2. Frank Riedel & Frederik Herzberg, 2013. "Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets," Working Papers 443, Bielefeld University, Center for Mathematical Economics.
  3. Patrick Beißner, 2013. "Brownian equilibria under Knightian uncertainty," Working Papers 447, Bielefeld University, Center for Mathematical Economics.
  4. Patrick Beißner, 2013. "Radner equilibria under ambiguous volatility," Working Papers 493, Bielefeld University, Center for Mathematical Economics.

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