Two-Fund Separation in Dynamic General Equilibrium
Download full text from publisher
Other versions of this item:
- Schmedders, Karl, 2007. "Two-fund separation in dynamic general equilibrium," Theoretical Economics, Econometric Society, vol. 2(2), June.
- Karl Schmedders, 2005. "Two-Fund Separation in Dynamic General Equilibrium," 2005 Meeting Papers 148, Society for Economic Dynamics.
References listed on IDEAS
- Mas-Colell,Andreu, 1990. "The Theory of General Economic Equilibrium," Cambridge Books, Cambridge University Press, number 9780521388702, March.
- Peter Bossaerts & Charles Plott & William R. Zame, 2005.
"Prices and Portfolio Choices in Financial Markets: Theory and Experiments,"
UCLA Economics Working Papers
840, UCLA Department of Economics.
- Peter Bossaerts & Charles Plott & William R. Zame, 2006. "Prices and Portfolio Choices in Financial Markets: Theory and Experiment," Levine's Bibliography 122247000000001322, UCLA Department of Economics.
- J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," Review of Economic Studies, Oxford University Press, vol. 25(2), pages 65-86.
- Amershi, Amin H & Stoeckenius, Jan H W, 1983. "The Theory of Syndicates and Linear Sharing Rules," Econometrica, Econometric Society, vol. 51(5), pages 1407-1416, September.
- Citanna, A. & Polemarchakis, H.M. & Tirelli, M., 2006.
"The taxation of trades in assets,"
Journal of Economic Theory,
Elsevier, vol. 126(1), pages 299-313, January.
- CITANNA, Alessandro & POLEMARCHAKIS, Heracles M. & TIRELLI, M., 2000. "The Taxation of Trades in assets," Les Cahiers de Recherche 721, HEC Paris.
- CITANNA, Alessandro & POLEMARCHAKIS, Herakles M. & TIRELLI, Mario, 2001. "The taxation of trades in assets," CORE Discussion Papers 2001017, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Herakles Polemarchakis, 2001. "The taxation of trades in assests," Working Papers 2001-21, Brown University, Department of Economics.
- Alessandro Citanna & Heracles M. Polemarchakis & M. Tirelli, 2006. "The taxation of trades in assets," Post-Print halshs-00009847, HAL.
- Kenneth L. Judd & Felix Kubler & Karl Schmedders, 2003.
"Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents,"
Journal of Finance,
American Finance Association, vol. 58(5), pages 2203-2218, October.
- Kenneth L. Judd & Felix Kubler & Karl Schmedders, 2000. "Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents," Discussion Papers 1294, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- David Cass & Alessandro Citanna, 1998.
"Pareto improving financial innovation in incomplete markets,"
Springer;Society for the Advancement of Economic Theory (SAET), vol. 11(3), pages 467-494.
- David Cass & Alessandro Citanna, 1998. "Pareto Improving Financial Innovation in Incomplete Markets," Post-Print hal-00479286, HAL.
- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
- Michael J. Brennan & Yihong Xia, 2000. "Stochastic Interest Rates and the Bond-Stock Mix," Review of Finance, European Finance Association, vol. 4(2), pages 197-210.
- Russell, Thomas, 1980. "Portfolio separation : The analytic case," Economics Letters, Elsevier, vol. 6(1), pages 59-66.
- Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, vol. 2(2), pages 122-160, June.
- Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-455, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Chiaki Hara, 2006.
"Heterogeneous Risk Attitudes In A Continuous-Time Model,"
The Japanese Economic Review,
Japanese Economic Association, vol. 57(3), pages 377-405.
- Chiaki Hara, 2005. "Heterogeneous Risk Attitudes in a Continuous-Time Model," KIER Working Papers 609, Kyoto University, Institute of Economic Research.
- Anufriev, Mikhail & Bottazzi, Giulio & Marsili, Matteo & Pin, Paolo, 2012.
"Excess covariance and dynamic instability in a multi-asset model,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 36(8), pages 1142-1161.
- Anufriev, M. & Bottazzi, G. & Marsili, M. & Pin, P., 2011. "Excess Covariance and Dynamic Instability in a Multi-Asset Model," CeNDEF Working Papers 11-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
More about this item
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-09 (All new papers)
- NEP-DGE-2007-04-09 (Dynamic General Equilibrium)
- NEP-UPT-2007-04-09 (Utility Models & Prospect Theory)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nwu:cmsems:1398. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Fran Walker). General contact details of provider: http://edirc.repec.org/data/cmnwuus.html .