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Nash competitive equilibria and two-period fund separation

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  • Hens, Thorsten
  • Reimann, Stefan
  • Vogt, Bodo
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    Bibliographic Info

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

    Volume (Year): 40 (2004)
    Issue (Month): 3-4 (June)
    Pages: 321-346

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    Handle: RePEc:eee:mateco:v:40:y:2004:i:3-4:p:321-346

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

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    1. Drew Fudenberg & Jean Tirole, 1991. "Game Theory," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262061414, December.
    2. JÊrÆme B. Detemple & Piero Gottardi, 1998. "Aggregation, efficiency and mutual fund separation in incomplete markets," Economic Theory, Springer, Springer, vol. 11(2), pages 443-455.
    3. Pradeep Dubey & John Geanakoplos, 2002. "From Nash to Walras via Shapley-Shubik," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1360, Cowles Foundation for Research in Economics, Yale University.
    4. John Geanakoplos & Martin Shubik, 1990. "The Capital Asset Pricing Model as a General Equilibrium With Incomplete Markets*," The Geneva Risk and Insurance Review, Palgrave Macmillan, vol. 15(1), pages 55-71, March.
    5. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    6. P. Dubey & J. Geanakoplos, 2002. "From Nash to Walras via Shapley-Shubik," Department of Economics Working Papers, Stony Brook University, Department of Economics 02-01, Stony Brook University, Department of Economics.
    7. Shapley, Lloyd S & Shubik, Martin, 1977. "Trade Using One Commodity as a Means of Payment," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 85(5), pages 937-68, October.
    8. Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, vol. 2(2), pages 122-160, June.
    9. Rüdiger Frey & Alexander Stremme, 1997. "Market Volatility and Feedback Effects from Dynamic Hedging," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 7(4), pages 351-374.
    10. Leonidas Koutsougeras & Konstantinos Papadopoulos, 2004. "Arbitrage and equilibrium in strategic security markets," Economic Theory, Springer, Springer, vol. 23(3), pages 553-568, March.
    11. Giraud, Gael & Stahn, Hubert, 2003. "Efficiency and imperfect competition with incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 39(5-6), pages 559-583, July.
    12. Malinvaud, E., 1972. "The allocation of individual risks in large markets," Journal of Economic Theory, Elsevier, vol. 4(2), pages 312-328, April.
    13. Brunnermeier, Markus K., 2001. "Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198296980, October.
    14. Friend, Irwin & Blume, Marshall E, 1975. "The Demand for Risky Assets," American Economic Review, American Economic Association, American Economic Association, vol. 65(5), pages 900-922, December.
    15. Gaël Giraud & Sonia Weyers, 2004. "Strategic market games with a finite horizon and incomplete markets," Economic Theory, Springer, Springer, vol. 23(3), pages 467-491, March.
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    Cited by:
    1. Alos-Ferrer, Carlos & Ania, Ana B., 2005. "The asset market game," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 67-90, February.
    2. Patrick Leoni, 2008. "Market power, survival and accuracy of predictions in financial markets," Economic Theory, Springer, Springer, vol. 34(1), pages 189-206, January.
    3. Gerber, Anke & Hens, Thorsten & Woehrmann, Peter, 2005. "Dynamic General Equilibrium and T-Period Fund Separation," Discussion Papers, Department of Business and Management Science, Norwegian School of Economics 2005/16, Department of Business and Management Science, Norwegian School of Economics.
    4. Patarick Leoni, 2006. "Market Power, Survival and Accuracy of Predictions in Financial Markets," Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth n1701106, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
    5. Manfred Nermuth, 2008. "The Structure of Equilibrium in an Asset Market with Variable Supply," Vienna Economics Papers, University of Vienna, Department of Economics 0804, University of Vienna, Department of Economics.
    6. Dmitry Levando, 2012. "A Survey Of Strategic Market Games," Economic Annals, Faculty of Economics, University of Belgrade, vol. 57(194), pages 63-106, July - Se.

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