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Trading constraints penalizing default: A recursive approach

  • Braido, Luis H.B.

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Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 44 (2008)
Issue (Month): 2 (January)
Pages: 157-166

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Handle: RePEc:eee:mateco:v:44:y:2008:i:2:p:157-166
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  1. Fernando Alvarez & Urban J. Jermann, 2000. "Efficiency, Equilibrium, and Asset Pricing with Risk of Default," Econometrica, Econometric Society, vol. 68(4), pages 775-798, July.
  2. William R. Zame, 1990. "Efficiency and the Role of Default When Security Markets are Incomplete," UCLA Economics Working Papers 585, UCLA Department of Economics.
  3. P. Dubey & J. Geanakoplos & M . Shubik, 2001. "Default and Punishment in General Equilibrium," Department of Economics Working Papers 01-07, Stony Brook University, Department of Economics.
  4. Dutta, J. & Kapur, S., 2000. "Default and Efficient Debt Markets," Discussion Papers 00-14, Department of Economics, University of Birmingham.
  5. Timothy J Kehoe & David K Levine, 1993. "Debt Constrained Asset Markets," Levine's Working Paper Archive 1276, David K. Levine.
  6. Zhang, Harold H, 1997. " Endogenous Borrowing Constraints with Incomplete Markets," Journal of Finance, American Finance Association, vol. 52(5), pages 2187-2209, December.
  7. Duffie, Darrell, et al, 1994. "Stationary Markov Equilibria," Econometrica, Econometric Society, vol. 62(4), pages 745-81, July.
  8. Tarun Sabarwal, 2000. "Bankruptcy in general equilibrium," Finance and Economics Discussion Series 2000-48, Board of Governors of the Federal Reserve System (U.S.).
  9. Aloisio Araujo & Paulo K. Monteiro & M�rio Rui P�ascoa, 1996. "Infinite Horizon Incomplete Markets With A Continuum Of States," Mathematical Finance, Wiley Blackwell, vol. 6(2), pages 119-132.
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