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On equilibrium prices in continuous time

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Author Info
V. Filipe Martins-da-Rocha (Graduate School of Economics, Getulio Vargas Foundation, Rio de Janeiro)
Frank Riedel () (Institute of Mathematical Economics, Bielefeld University)

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Abstract

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.

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File URL: http://www.imw.uni-bielefeld.de/papers/files/imw-wp-397.pdf
File Format: application/pdf
File Function: First version, 2008
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Publisher Info
Paper provided by Bielefeld University, Institute of Mathematical Economics in its series Working Papers with number 397.

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Length: 20 pages
Date of creation: Feb 2008
Date of revision:
Handle: RePEc:bie:wpaper:397

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Postal: Postfach 10 01 31, 33501 Bielefeld
Web page: http://www.imw.uni-bielefeld.de/
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Related research
Keywords: general equilibrium; continuous time finance; théorie générale of stochastic processes; asset pricing; state prices;

Other versions of this item:

Find related papers by JEL classification:
D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
D91 - Microeconomics - - Intertemporal Choice and Growth - - - Intertemporal Consumer Choice; Life Cycle Models and Saving
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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References listed on IDEAS
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  1. Frank Riedel & Peter Bank, 2001. "Existence and structure of stochastic equilibria with intertemporal substitution," Finance and Stochastics, Springer, vol. 5(4), pages 487-509. [Downloadable!] (restricted)
    Other versions:
  2. Monique Florenzano, 2008. "General equilibrium," Documents de travail du Centre d'Economie de la Sorbonne b08005, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne. [Downloadable!]
    Other versions:
  3. Zame, William R, 1987. "Competitive Equilibria in Production Economies with an Infinite-Dimensional Commodity Space," Econometrica, Econometric Society, vol. 55(5), pages 1075-1108, September. [Downloadable!] (restricted)
  4. Charalambos Aliprantis & Monique Florenzano & Rabee Tourky, 2004. "General equilibrium analysis in ordered topological vector spaces," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00086791_v1, HAL. [Downloadable!]
    Other versions:
  5. V. Martins-da-Rocha & Frank Riedel, 2006. "Stochastic equilibria for economies under uncertainty with intertemporal substitution," Annals of Finance, Springer, vol. 2(1), pages 101-122, January. [Downloadable!] (restricted)
  6. Aliprantis, Charalambos D. & Tourky, Rabee & Yannelis, Nicholas C., 2000. "Cone Conditions in General Equilibrium Theory," Journal of Economic Theory, Elsevier, vol. 92(1), pages 96-121, May. [Downloadable!] (restricted)
  7. Aliprantis, Charalambos D. & Monteiro, Paulo K. & Tourky, Rabee, 2004. "Non-marketed options, non-existence of equilibria, and non-linear prices," Journal of Economic Theory, Elsevier, vol. 114(2), pages 345-357, February. [Downloadable!] (restricted)
  8. Duffie, Darrell & Zame, William, 1989. "The Consumption-Based Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 57(6), pages 1279-97, November. [Downloadable!] (restricted)
    Other versions:
  9. William R. Zame & Robert M. Anderson, 1998. "Edgeworth's conjecture with infinitely many commodities: commodity differentiation," Economic Theory, Springer, vol. 11(2), pages 331-377. [Downloadable!] (restricted)
  10. Richard, Scott F., 1989. "A new approach to production equilibria in vector lattices," Journal of Mathematical Economics, Elsevier, vol. 18(1), pages 41-56, February. [Downloadable!] (restricted)
  11. Yannelis, Nicholas C. & Zame, William R., 1986. "Equilibria in Banach lattices without ordered preferences," Journal of Mathematical Economics, Elsevier, vol. 15(2), pages 85-110, April. [Downloadable!] (restricted)
  12. Florenzano, Monique & Deghdak, Messaoud, 1997. "Decentralizing edgeworth equilibria in economies with many commodities," CEPREMAP Working Papers (Couverture Orange) 9721, CEPREMAP.
  13. Robert M. Anderson & William R. Zame, 1997. "Edgeworth's Conjecture with Infinitely Many Commodities: L1," Econometrica, Econometric Society, vol. 65(2), pages 225-274, March.
  14. Chris Shannon & William R. Zame, 2002. "Quadratic Concavity and Determinacy of Equilibrium," Econometrica, Econometric Society, vol. 70(2), pages 631-662, March. [Downloadable!] (restricted)
    Other versions:
  15. Tourky, Rabee, 1998. "A New Approach to the Limit Theorem on the Core of an Economy in Vector Lattices," Journal of Economic Theory, Elsevier, vol. 78(2), pages 321-328, February. [Downloadable!] (restricted)
    Other versions:
  16. Mas-Colell, Andreu & Zame, William R., 1991. "Equilibrium theory in infinite dimensional spaces," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 34, pages 1835-1898 Elsevier. [Downloadable!] (restricted)
  17. Araujo, A. & Monteiro, P. K., 1989. "Equilibrium without uniform conditions," Journal of Economic Theory, Elsevier, vol. 48(2), pages 416-427, August. [Downloadable!] (restricted)
  18. Richard, Scott F. & Zame, William R., 1986. "Proper preferences and quasi-concave utility functions," Journal of Mathematical Economics, Elsevier, vol. 15(3), pages 231-247, June. [Downloadable!] (restricted)
  19. Mas-Colell, Andreu & Richard, Scott F., 1991. "A new approach to the existence of equilibria in vector lattices," Journal of Economic Theory, Elsevier, vol. 53(1), pages 1-11, February. [Downloadable!] (restricted)
  20. Aliprantis, Charalambos D. & Florenzano, Monique & Tourky, Rabee, 2005. "Linear and non-linear price decentralization," Journal of Economic Theory, Elsevier, vol. 121(1), pages 51-74, March. [Downloadable!] (restricted)
    Other versions:
  21. Aliprantis, Charalambos D. & Tourky, Rabee & Yannelis, Nicholas C., 2001. "A Theory of Value with Non-linear Prices: Equilibrium Analysis beyond Vector Lattices," Journal of Economic Theory, Elsevier, vol. 100(1), pages 22-72, September. [Downloadable!] (restricted)
  22. Aliprantis, Charalambos D & Brown, Donald J & Burkinshaw, Owen, 1987. "Edgeworth Equilibria," Econometrica, Econometric Society, vol. 55(5), pages 1109-37, September. [Downloadable!] (restricted)
    Other versions:
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