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, December.
- 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," HEC Research Papers Series 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.
- repec:eee:finlet:v:24:y:2018:i:c:p:168-174 is not listed on IDEAS
- 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 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.