An example of a stochastic equilibrium with incomplete markets
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Volume (Year): 16 (2012)
Issue (Month): 2 (April)
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- Michael Magill & Martine Quinzii, 2002. "Theory of Incomplete Markets, Volume 1," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262632543, June.
- 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.
- 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.
- 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.
- Clotilde Napp & Elyès Jouini, 2004. "Convergence of utility functions and convergence of optimal strategies," Post-Print halshs-00151579, HAL.
- Napp, Clotilde & Jouini, Elyès, 2004. "Convergence of utility functions and convergence of optimal strategies," Economics Papers from University Paris Dauphine 123456789/355, Paris Dauphine University.
- Darrell Duffie & William Zame, 1988.
"The Consumption-Based Capital Asset Pricing Model,"
88-10, University of Copenhagen. Department of Economics.
- Kasper Larsen & Gordan Zitkovic, 2007. "Stability of utility-maximization in incomplete markets," Papers 0706.0474, arXiv.org.
- Kasper Larsen, 2009. "Continuity Of Utility-Maximization With Respect To Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 237-250.
- 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.
- 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.
- 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 309-41.
- 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, 01.
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