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On Equilibrium Prices in Continuous Time

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  • Martins-da-Rocha, Victor 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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Paper provided by FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) in its series Economics Working Papers (Ensaios Economicos da EPGE) with number 672.

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Date of creation: 28 Feb 2008
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Handle: RePEc:fgv:epgewp:672

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Cited by:
  1. Patrick Beißner, 2013. "Brownian equilibria under Knightian uncertainty," Working Papers, Bielefeld University, Center for Mathematical Economics 447, Bielefeld University, Center for Mathematical Economics.
  2. Giorgio Ferrari & Jan-Henrik Steg & Frank Riedel, 2013. "Continuous-Time Public Good Contribution under Uncertainty," Working Papers, Bielefeld University, Center for Mathematical Economics 485, Bielefeld University, Center for Mathematical Economics.
  3. Frederik Herzberg & Frank Riedel, 2012. "Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets," Papers, arXiv.org 1207.2010, arXiv.org.
  4. Patrick Beißner, 2013. "Radner equilibria under ambiguous volatility," Working Papers, Bielefeld University, Center for Mathematical Economics 493, Bielefeld University, Center for Mathematical Economics.

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