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An example of a stochastic equilibrium with incomplete markets

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  • Gordan Žitković

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  • Gordan Žitković, 2012. "An example of a stochastic equilibrium with incomplete markets," Finance and Stochastics, Springer, vol. 16(2), pages 177-206, April.
  • Handle: RePEc:spr:finsto:v:16:y:2012:i:2:p:177-206
    DOI: 10.1007/s00780-011-0161-0
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    References listed on IDEAS

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    1. Basak, Suleyman & Cuoco, Domenico, 1998. "An Equilibrium Model with Restricted Stock Market Participation," Review of Financial Studies, Society for Financial Studies, vol. 11(2), pages 309-341.
    2. Duffie, Darrell & Zame, William, 1989. "The Consumption-Based Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 57(6), pages 1279-1297, November.
    3. Larsen, Kasper & Zitkovic, Gordan, 2007. "Stability of utility-maximization in incomplete markets," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1642-1662, November.
    4. Herbert E. Scarf, 1967. "The Approximation of Fixed Points of a Continuous Mapping," Cowles Foundation Discussion Papers 216R, Cowles Foundation for Research in Economics, Yale University.
    5. Kasper Larsen & Gordan Zitkovic, 2007. "Stability of utility-maximization in incomplete markets," Papers 0706.0474, arXiv.org.
    6. Michael Magill & Martine Quinzii, 2002. "Theory of Incomplete Markets, Volume 1," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262632543, January.
    7. Ioannis Karatzas & John P. Lehoczky & Steven E. Shreve, 1991. "Equilibrium Models With Singular Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 1(3), pages 11-29.
    8. Elyès Jouini & Clotilde Napp, 2004. "Convergence of utility functions and convergence of optimal strategies," Finance and Stochastics, Springer, vol. 8(1), pages 133-144, January.
    9. Mark P. Owen & Gordan Žitković, 2009. "Optimal Investment With An Unbounded Random Endowment And Utility-Based Pricing," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 129-159.
    10. Gordan Žitković, 2006. "Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints," Finance and Stochastics, Springer, vol. 10(1), pages 99-119, January.
    11. Kasper Larsen, 2009. "Continuity Of Utility-Maximization With Respect To Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 237-250.
    12. repec:dau:papers:123456789/355 is not listed on IDEAS
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    Citations

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    Cited by:

    1. repec:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0354-x is not listed on IDEAS
    2. Bayraktar, Erhan & Kravitz, Ross, 2013. "Stability of exponential utility maximization with respect to market perturbations," Stochastic Processes and their Applications, Elsevier, vol. 123(5), pages 1671-1690.
    3. Jin Choi & Kasper Larsen, 2015. "Taylor approximation of incomplete Radner equilibrium models," Finance and Stochastics, Springer, vol. 19(3), pages 653-679, July.
    4. Bruno Bouchard & Masaaki Fukasawa & Martin Herdegen & Johannes Muhle-Karbe, 2018. "Equilibrium Returns with Transaction Costs," Post-Print hal-01569408, HAL.
    5. Bruno Bouchard & Masaaki Fukasawa & Martin Herdegen & Johannes Muhle-Karbe, 2017. "Equilibrium Returns with Transaction Costs," Papers 1707.08464, arXiv.org, revised Apr 2018.

    More about this item

    Keywords

    Equilibrium; Exponential utility; Incomplete markets; Mathematical finance; 91G80; 35K59; C62; G11;

    JEL classification:

    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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