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Multiperiod security markets with differential information : Martingales and resolution times

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  • Duffie, Darrell
  • Huang, Chi-fu

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  • Duffie, Darrell & Huang, Chi-fu, 1986. "Multiperiod security markets with differential information : Martingales and resolution times," Journal of Mathematical Economics, Elsevier, vol. 15(3), pages 283-303, June.
  • Handle: RePEc:eee:mateco:v:15:y:1986:i:3:p:283-303
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    References listed on IDEAS

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    1. Nermuth, Manfred, 1978. "Sensitivity of optimal growth paths : With respect to a change in target stocks or in the length of the planning horizon in a multisector model," Journal of Mathematical Economics, Elsevier, vol. 5(3), pages 289-301, December.
    2. David Cass, 1964. "Optimum Economic Growth in an Aggregative Model of Capital Accumulation: A Turnpike Theorem," Cowles Foundation Discussion Papers 178, Cowles Foundation for Research in Economics, Yale University.
    3. Easley, David & Spulber, Daniel F, 1981. "Stochastic Equilibrium and Optimality with Rolling Plans," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(1), pages 79-103, February.
    4. Hajime Hori, 1982. "Stability of the Neumann Ray in a Dynamic Leontief System with Finite Forecast Horizons," Review of Economic Studies, Oxford University Press, vol. 49(3), pages 461-472.
    5. Polterovich, V M, 1983. "Equilibrium Trajectories of Economic Growth," Econometrica, Econometric Society, vol. 51(3), pages 693-729, May.
    6. Mikhail Kaganovich, 1985. "Efficiency of Sliding Plans in a Linear Model with Time-Dependent Technology," Review of Economic Studies, Oxford University Press, vol. 52(4), pages 691-702.
    7. J. Tsukui, 1967. "The Consumption and the Output Turnpike Theorems in a von Neumann Type of Model—A Finite Term Problem," Review of Economic Studies, Oxford University Press, vol. 34(1), pages 85-93.
    8. S. M. Goldman, 1968. "Optimal Growth and Continual Planning Revision," Review of Economic Studies, Oxford University Press, vol. 35(2), pages 145-154.
    9. Alexandre Scheinkman, Jose, 1976. "On optimal steady states of n-sector growth models when utility is discounted," Journal of Economic Theory, Elsevier, vol. 12(1), pages 11-30, February.
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    Cited by:

    1. Eckhard Platen, 2004. "A Benchmark Framework for Risk Management," World Scientific Book Chapters,in: Stochastic Processes And Applications To Mathematical Finance, chapter 15, pages 305-335 World Scientific Publishing Co. Pte. Ltd..
    2. Dokuchaev, N. G. & Savkin, Andrey V., 2004. "Universal strategies for diffusion markets and possibility of asymptotic arbitrage," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 409-419, June.
    3. Stefan Ankirchner & Steffen Dereich & Peter Imkeller, 2005. "The Shannon Information of Filtrations and the Additional Logarithmic Utility of Insiders," SFB 649 Discussion Papers SFB649DP2005-030, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    4. Elyès Jouini, 2003. "Market imperfections , equilibrium and arbitrage," Post-Print halshs-00167131, HAL.
    5. Jouini, Elyes, 2001. "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, pages 167-183.
    6. Jouini, Elyes & Napp, Clotilde & Schachermayer, Walter, 2005. "Arbitrage and state price deflators in a general intertemporal framework," Journal of Mathematical Economics, Elsevier, pages 722-734.
    7. Constantinides, George M & Duffie, Darrell, 1996. "Asset Pricing with Heterogeneous Consumers," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 219-240, April.
    8. Cogley, Timothy, 2002. "Idiosyncratic risk and the equity premium: evidence from the consumer expenditure survey," Journal of Monetary Economics, Elsevier, pages 309-334.
    9. Frittelli, Marco, 1996. "Dominated families of martingale, supermartingale and quasimartingale laws," Stochastic Processes and their Applications, Elsevier, vol. 63(2), pages 265-277, November.
    10. Badics, Tamás, 2011. "Az arbitrázs preferenciákkal történő karakterizációjáról
      [On the characterization of arbitrage in terms of preferences]
      ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 727-742.
    11. Imkeller, Peter & Pontier, Monique & Weisz, Ferenc, 2001. "Free lunch and arbitrage possibilities in a financial market model with an insider," Stochastic Processes and their Applications, Elsevier, vol. 92(1), pages 103-130, March.
    12. Jouini, Elyes & Kallal, Hedi & Napp, Clotilde, 2001. "Arbitrage and viability in securities markets with fixed trading costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 197-221, April.
    13. Stefan Ankirchner, 2005. "Utility duality under additional information: conditional measures versus filtration enlargements," SFB 649 Discussion Papers SFB649DP2005-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    14. W. Schachermayer, 1994. "Martingale Measures For Discrete-Time Processes With Infinite Horizon," Mathematical Finance, Wiley Blackwell, vol. 4(1), pages 25-55.
    15. Alessandro Fiori Maccioni, 2011. "Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox," Papers 1106.5274, arXiv.org, revised Sep 2011.
    16. Napp, Clotilde, 2001. "Pricing issues with investment flows Applications to market models with frictions," Journal of Mathematical Economics, Elsevier, vol. 35(3), pages 383-408, June.
    17. Walter Schachermayer, 1993. "A Counterexample to Several Problems In the Theory of Asset Pricing," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 217-229.
    18. Elyès Jouini & Hédi Kallal, 1999. "Viability and Equilibrium in Securities Markets with Frictions," Mathematical Finance, Wiley Blackwell, pages 275-292.
    19. Detemple, Jerome B., 2002. "Asset pricing in an intertemporal partially-revealing rational expectations equilibrium," Journal of Mathematical Economics, Elsevier, vol. 38(1-2), pages 219-248, September.
    20. A. Fiori Maccioni, 2011. "The risk neutral valuation paradox," Working Paper CRENoS 201112, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    21. repec:dau:papers:123456789/5603 is not listed on IDEAS
    22. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance,in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742 Elsevier.
    23. Dahai Yu, 1998. "Rational bubbles under diverse information," International Finance Discussion Papers 621, Board of Governors of the Federal Reserve System (U.S.).
    24. Duffie, Darrell & Kan, Rui, 2002. "Universal state prices and asymmetric information," Journal of Mathematical Economics, Elsevier, vol. 38(1-2), pages 191-196, September.

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