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Valuation and asset pricing in infinite-horizon sequential markets with portfolio constraints

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  • Kevin Huang

Abstract

We develop a theory of valuation of payoff streams in infinite-horizon sequential markets and discuss implications of this theory for equilibrium under various portfolio constraints. We study the nature of asset price bubbles in light of this theory. We show that there cannot be equilibrium price bubbles on asset in positive net supply under a transversality restriction. Our analysis extends the work by Huang and Werner [9] to stochastic settings with complete or incomplete markets.

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File URL: ftp://repec.bus.usu.edu/RePEc/usu/pdf/ERI2000-09.pdf
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File Function: First version, 2000
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Bibliographic Info

Paper provided by Utah State University, Department of Economics in its series Working Papers with number 2000-09.

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Length: 29 pages
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Handle: RePEc:usu:wpaper:2000-09

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Keywords: Valuation; asset price bubble; portfolio constraint;

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Cited by:
  1. Kevin Huang, . "On infinite-horizon minimum-cost hedging under cone constraints," Working Papers 2000-22, Utah State University, Department of Economics.

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