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Viable prices in financial markets with solvency constraints

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  • Hindy, Ayman
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Mathematical Economics.

    Volume (Year): 24 (1995)
    Issue (Month): 2 ()
    Pages: 105-135

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    Handle: RePEc:eee:mateco:v:24:y:1995:i:2:p:105-135

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    Web page: http://www.elsevier.com/locate/jmateco

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    1. Philip H. Dybvig, Chi-fu Huang, 1988. "Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 1(4), pages 377-401.
    2. Ross, Stephen A, 1978. "A Simple Approach to the Valuation of Risky Streams," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 51(3), pages 453-75, July.
    3. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 20(3), pages 381-408, June.
    4. Deaton, A., 1989. "Saving And Liquidity Constraints," Papers, Princeton, Woodrow Wilson School - Public and International Affairs 153, Princeton, Woodrow Wilson School - Public and International Affairs.
    5. He, Hua & Pages, Henri F, 1993. "Labor Income, Borrowing Constraints, and Equilibrium Asset Prices," Economic Theory, Springer, Springer, vol. 3(4), pages 663-96, October.
    6. Bewley, Truman, 1977. "The permanent income hypothesis: A theoretical formulation," Journal of Economic Theory, Elsevier, Elsevier, vol. 16(2), pages 252-292, December.
    7. Lars Peter Hansen & Ravi Jagannathan, 1990. "Implications of security market data for models of dynamic economies," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis 29, Federal Reserve Bank of Minneapolis.
    8. Bewley, Truman F., 1972. "Existence of equilibria in economies with infinitely many commodities," Journal of Economic Theory, Elsevier, Elsevier, vol. 4(3), pages 514-540, June.
    9. Back, Kerry & Pliska, Stanley R., 1991. "On the fundamental theorem of asset pricing with an infinite state space," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 20(1), pages 1-18.
    10. Huang, Chi-fu, 1985. "Information structures and viable price systems," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 14(3), pages 215-240, June.
    11. Kreps, David M., 1981. "Arbitrage and equilibrium in economies with infinitely many commodities," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 8(1), pages 15-35, March.
    12. Scheinkman, Jose A & Weiss, Laurence, 1986. "Borrowing Constraints and Aggregate Economic Activity," Econometrica, Econometric Society, Econometric Society, vol. 54(1), pages 23-45, January.
    13. Back, Kerry, 1991. "Asset pricing for general processes," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 20(4), pages 371-395.
    14. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, Elsevier, vol. 7(3), pages 265-296, September.
    15. Hindy, Ayman & Huang, Chi-fu, 1992. "Intertemporal Preferences for Uncertain Consumption: A Continuous Time Approach," Econometrica, Econometric Society, Econometric Society, vol. 60(4), pages 781-801, July.
    16. N. Gregory Mankiw, 1986. "The Equity Premium and the Concentration of Aggregate Shocks," NBER Working Papers 1788, National Bureau of Economic Research, Inc.
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    Cited by:
    1. Elyès Jouini & Hédi Kallal, 1998. "Efficient Trading Strategies in the Presence of Market Frictions," Working Papers, Centre de Recherche en Economie et Statistique 98-31, Centre de Recherche en Economie et Statistique.
    2. Andrea Frazzini & Lasse H. Pedersen, 2012. "Embedded Leverage," NBER Working Papers 18558, National Bureau of Economic Research, Inc.
    3. Andrea Frazzini & Lasse H. Pedersen, 2010. "Betting Against Beta," NBER Working Papers 16601, National Bureau of Economic Research, Inc.
    4. Frazzini, Andrea & Pedersen, Lasse Heje, 2014. "Betting against beta," Journal of Financial Economics, Elsevier, Elsevier, vol. 111(1), pages 1-25.
    5. Jaime A. Londo\~no, 2003. "State Tameness: A New Approach for Credit Constrains," Papers math/0305274, arXiv.org, revised Feb 2004.
    6. Elyès Jouini & Hédi Kallal & Clotilde Napp, 1999. "Arbitrage and Viability in Securities Markets with Fixed Trading Costs," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-033, New York University, Leonard N. Stern School of Business-.
    7. Liu, Jun & Longstaff, Francis A, 2000. "Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt48k8f97f, Anderson Graduate School of Management, UCLA.
    8. Lars Nielsen, 2007. "Dividends in the theory of derivative securities pricing," Economic Theory, Springer, Springer, vol. 31(3), pages 447-471, June.

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