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Article provided by Springer in its journal Economic Theory.

Volume (Year): 31 (2007)
Issue (Month): 3 (June)
Pages: 447-471
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Handle: RePEc:spr:joecth:v:31:y:2007:i:3:p:447-471

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Related research

Keywords: Dividend; Cumulative dividend process; Derivative security; Unit of account; Martingale valuation; G10; G13;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

1. Darrell Duffie & William Zame, 1988. "The Consumption-Based Capital Asset Pricing Model," Discussion Papers 88-10, University of Copenhagen. Department of Economics.
   Other versions:
   • Duffie, Darrell & Zame, William, 1989. "The Consumption-Based Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 57(6), pages 1279-97, November. [Downloadable!] (restricted)
2. Huang, Chi-fu, 1985. "Information structures and viable price systems," Journal of Mathematical Economics, Elsevier, vol. 14(3), pages 215-240, June. [Downloadable!] (restricted)
3. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June. [Downloadable!] (restricted)
4. Jin, Xing & Deng, Shuhui, 1997. "Existence and uniqueness of optimal consumption and portfolio rules in a continuous-time finance model with habit formation and without short sales," Journal of Mathematical Economics, Elsevier, vol. 28(2), pages 187-205, September. [Downloadable!] (restricted)
5. Duffie, Darrell, 1991. "The theory of value in security markets," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 31, pages 1615-1682 Elsevier. [Downloadable!] (restricted)
6. Schweizer, Martin, 1992. "Martingale densities for general asset prices," Journal of Mathematical Economics, Elsevier, vol. 21(4), pages 363-378. [Downloadable!] (restricted)
7. Cuoco, Domenico, 1997. "Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income," Journal of Economic Theory, Elsevier, vol. 72(1), pages 33-73, January. [Downloadable!] (restricted)
8. Hindy, Ayman, 1995. "Viable prices in financial markets with solvency constraints," Journal of Mathematical Economics, Elsevier, vol. 24(2), pages 105-135. [Downloadable!] (restricted)

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This page was last updated on 2009-11-25.