Resource Allocation And Asset Pricing
This paper presents a unified treatment of the production and financial decisions available to a firm facing frictionless financial markets and a stochastic production technology under minimal assumptions on the firm's stochastic technology and objective function. The key concept is that of a 'derivative-cost function', which gives the minimal cost (maximal buying price) of constructing an asset by combining financial and real production activities.
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- Elyès Jouini & Hedi Kallal & Clotilde Napp, 2001.
"Arbitrage and viability in securities markets with fixed trading costs,"
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- Elyès Jouini & Hédi Kallal & Clotilde Napp, 1999. "Arbitrage and Viability in Securities Markets with Fixed Trading Costs," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-033, New York University, Leonard N. Stern School of Business-.
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- Luttmer, Erzo G J, 1996. "Asset Pricing in Economies with Frictions," Econometrica, Econometric Society, vol. 64(6), pages 1439-67, November.
- Holthausen, Duncan M, 1979. "Hedging and the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 69(5), pages 989-95, December.
- Chambers Robert G. & Fare Rolf, 1994. "Hicks' Neutrality and Trade Biased Growth: A Taxonomy," Journal of Economic Theory, Elsevier, vol. 64(2), pages 554-567, December.
- Elyégs Jouini & Hédi Kallal, 1995. "Arbitrage In Securities Markets With Short-Sales Constraints," Mathematical Finance, Wiley Blackwell, vol. 5(3), pages 197-232.
- McFadden, Daniel, 1978. "Cost, Revenue, and Profit Functions," Histoy of Economic Thought Chapters, in: Fuss, Melvyn & McFadden, Daniel (ed.), Production Economics: A Dual Approach to Theory and Applications, volume 1, chapter 1 McMaster University Archive for the History of Economic Thought.
- repec:dau:papers:123456789/5593 is not listed on IDEAS
- Chambers,Robert G., 1988. "Applied Production Analysis," Cambridge Books, Cambridge University Press, number 9780521314275.
- Rahi Rohit, 1995. "Optimal Incomplete Markets with Asymmetric Information," Journal of Economic Theory, Elsevier, vol. 65(1), pages 171-197, February.
- Dermody, Jaime Cuevas & Prisman, Eliezer Zeev, 1988. " Term Structure Multiplicity and Clientele in Markets with Transactions Costs and Taxes," Journal of Finance, American Finance Association, vol. 43(4), pages 893-911, September.
- Anderson, Ronald W & Danthine, Jean-Pierre, 1981. "Cross Hedging," Journal of Political Economy, University of Chicago Press, vol. 89(6), pages 1182-96, December.
- Clark, Stephen A., 1993. "The valuation problem in arbitrage price theory," Journal of Mathematical Economics, Elsevier, vol. 22(5), pages 463-478.
- Garman, Mark B. & Ohlson, James A., 1981.
"Valuation of risky assets in arbitrage-free economies with transactions costs,"
Journal of Financial Economics,
Elsevier, vol. 9(3), pages 271-280, September.
- Mark B. Garman and James A. Ohlson., 1980. "Valuation of Risky Assets in Arbitrage-Free Economies with Transactions Costs," Research Program in Finance Working Papers 103, University of California at Berkeley.
- N. French & C. Ward, 1993. "Valuation and arbitrage," ERES eres1993-121, European Real Estate Society (ERES).
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