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Arbitrage Pricing And Equilibrium Pricing: Compatibility Conditions

In: Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III)

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  • ELYÈS JOUINI

    (University of Paris-Dauphine, Place du Marechal de Lattre de Tassigny, 75775 Parisoff Cedex, France)

  • CLOTILDE NAPP

    (15, Bd Gabriel Péri, 92241 Malakoff Cedex, France)

Abstract

The following sections are included:IntroductionThe Market ModelConditions on the primitive marketConditions on the purely financial assetsEquivalent Martingale MeasuresIn the primitive marketIn the full marketTrading StrategiesWealth process and admissible strategiesAchievable consumption and wealth processesOptimal Demand in the Full MarketEquilibrium and Compatible State Price DensitiesA necessary condition for equilibriumAssuming that the utility functions are “regular”Incomplete Markets and Many Productive AssetsReferences

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  • Elyès Jouini & Clotilde Napp, 2002. "Arbitrage Pricing And Equilibrium Pricing: Compatibility Conditions," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 6, pages 131-158, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812778451_0006
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    1. Elyès Jouini & Vincent Porte, 2007. "Efficient Trading Strategies," Working Papers halshs-00176616, HAL.
    2. Darrell Duffie & Chi-Fu Huang, 2005. "Implementing Arrow-Debreu Equilibria By Continuous Trading Of Few Long-Lived Securities," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 4, pages 97-127, World Scientific Publishing Co. Pte. Ltd..
    3. Duffie, Darrell & Zame, William, 1989. "The Consumption-Based Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 57(6), pages 1279-1297, November.
    4. Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June.
    5. Elyès Jouini & Hédi Kallal, 1999. "Viability and Equilibrium in Securities Markets with Frictions," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 275-292, July.
    6. Harrison, J. Michael & Pliska, Stanley R., 1983. "A stochastic calculus model of continuous trading: Complete markets," Stochastic Processes and their Applications, Elsevier, vol. 15(3), pages 313-316, August.
    7. Huang, Chi-fu, 1987. "An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information," Econometrica, Econometric Society, vol. 55(1), pages 117-142, January.
    8. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
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    10. Bick, Avi, 1987. "On the Consistency of the Black-Scholes Model with a General Equilibrium Framework," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(3), pages 259-275, September.
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    14. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September.
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    17. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    18. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    19. Paulo Monteiro, 2005. "General equilibrium in Rio," Economics Bulletin, AccessEcon, vol. 28(35), pages 1.
    20. He, Hua & Leland, Hayne, 1993. "On Equilibrium Asset Price Processes," The Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 593-617.
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    22. Araujo, A. & Monteiro, P. K., 1989. "Equilibrium without uniform conditions," Journal of Economic Theory, Elsevier, vol. 48(2), pages 416-427, August.
    23. Bick, Avi, 1990. "On Viable Diffusion Price Processes of the Market Portfolio," Journal of Finance, American Finance Association, vol. 45(2), pages 673-689, June.
    24. Bewley, Truman F., 1972. "Existence of equilibria in economies with infinitely many commodities," Journal of Economic Theory, Elsevier, vol. 4(3), pages 514-540, June.
    25. Elyès Jouini & Clotilde Napp, 1998. "Contiuous Time Equilibrium Pricing of Nonredundant Assets," Working Papers 98-30, Center for Research in Economics and Statistics.
    26. BEWLEY, Truman F., 1972. "Existence of equilibria in economies with infinitely many commodities," LIDAM Reprints CORE 122, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    2. Elyes Jouini, 2020. "Equilibrium pricing and market completion: a counterexample," Economics Bulletin, AccessEcon, vol. 40(3), pages 1963-1969.
    3. Elyes Jouini, 2020. "Equilibrium pricing and market completion: a counterexample," PSE-Ecole d'économie de Paris (Postprint) halshs-03048797, HAL.

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