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Citations for "Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities"

by Duffie, J Darrell & Huang, Chi-fu

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  1. Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152, HAL.
  2. Jérôme B. Detemple & Angel Serrat, 1998. "Dynamic Equilibrium with Liquidity Constraints," CIRANO Working Papers 98s-41, CIRANO.
  3. repec:hal:journl:halshs-00173787 is not listed on IDEAS
  4. Madan, Dilip B., 2004. "Monitored financial equilibria," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2213-2235, September.
  5. Shin, Yongseok, 2007. "Managing the maturity structure of government debt," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1565-1571, September.
  6. Wassin Daher & V. Filipe Martins-da-Rocha & Yiannis Vailakis, 2005. "Asset market equilibrium with short-selling and differential information," Cahiers de la Maison des Sciences Economiques b05098, Université Panthéon-Sorbonne (Paris 1).
  7. Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," MPRA Paper 60921, University Library of Munich, Germany.
  8. Elena Asparouhova & Peter Bossaerts & Nilanjan Roy & William Zame, 2013. "‘Lucas’ In The Laboratory," EIEF Working Papers Series 1314, Einaudi Institute for Economics and Finance (EIEF), revised May 2013.
  9. K. Huang & Z. Liu, . "Implementing Arrow-Debreu equilibria by trading infinitely lived securities," Working Papers 2000-21, Utah State University, Department of Economics.
  10. Bertsimas, Dimitris. & Kogan, Leonid, 1974- & Lo, Andrew W., 1997. "Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach," Working papers WP 3973-97., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  11. Epstein, D. & Mayor, N. & Schonbucher, P. & Whalley, A. E. & Wilmott, P., 1998. "The valuation of a firm advertising optimally," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(2), pages 149-166.
  12. Jiang Wang, 1995. "The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors," NBER Working Papers 5172, National Bureau of Economic Research, Inc.
  13. Elyès Jouini & Clotilde Napp, 2002. "Arbitrage pricing and equilibrium pricing : compatibility conditions," Post-Print halshs-00176423, HAL.
  14. Timothy J. Kehoe & David K. Levine, 2008. "Â Bankruptcy and Collateral in Debt Constrained Markets," Chapters, in: Macroeconomics in the Small and the Large, chapter 5 Edward Elgar.
  15. Yilmaz, Fatih, 2001. "Conditional investment policy under uncertainty and irreversibility," European Journal of Operational Research, Elsevier, vol. 132(3), pages 681-686, August.
  16. Jiang, Wang, 1996. "The term structure of interest rates in a pure exchange economy with heterogeneous investors," Journal of Financial Economics, Elsevier, vol. 41(1), pages 75-110, May.
  17. David K. Levine & William R. Zame, 2002. "Does Market Incompleteness Matter?," Econometrica, Econometric Society, vol. 70(5), pages 1805-1839, September.
  18. Patrick Beissner & Frank Riedel, 2014. "Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty," Papers 1409.6940, arXiv.org.
  19. José Penalva, 2000. "Full insurance, asymmetric information and genetic testing," Economics Working Papers 461, Department of Economics and Business, Universitat Pompeu Fabra.
  20. Felipe Zurita, 2004. "La Tasa de Descuento Revisitada," Documentos de Trabajo 261, Instituto de Economia. Pontificia Universidad Católica de Chile..
  21. Constantinos Kardaras & Hao Xing & Gordan \v{Z}itkovi\'{c}, 2015. "Incomplete stochastic equilibria with exponential utilities close to Pareto optimality," Papers 1505.07224, arXiv.org.
  22. Brennan, Michael J. & Xia, Yihong, 2000. "Dynamic Asset Allocation under Inflation," University of California at Los Angeles, Anderson Graduate School of Management qt8p95456t, Anderson Graduate School of Management, UCLA.
  23. Chiarolla, Maria B. & Haussmann, Ulrich G., 2001. "Equilibrium in a stochastic model with consumption, wages and investment," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 311-346, April.
  24. Jouini, Elyès & Napp, Clotilde, 2007. "Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs," Economics Papers from University Paris Dauphine 123456789/78, Paris Dauphine University.
  25. Philip H. Dybvig & Chi-fu Huang, 1988. "Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans," Cowles Foundation Discussion Papers 860, Cowles Foundation for Research in Economics, Yale University.
  26. Jeanblanc, Monique & Dana, Rose-Anne, 2007. "Financial markets in continuous time," Economics Papers from University Paris Dauphine 123456789/5374, Paris Dauphine University.
  27. Kazemi, Hossein B. & Warotamasikkhadit, Dolly & Nageswaran, V. Anantha, 1997. "International convergence of short-term and long-term interest rates: Theory and empirical tests," Global Finance Journal, Elsevier, vol. 8(2), pages 239-256.
  28. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc.
  29. Basak, Suleyman, 1999. "On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 23(7), pages 1029-1064, June.
  30. Joel M. Vanden, 2006. "Portfolio Insurance And Volatility Regime Switching," Mathematical Finance, Wiley Blackwell, vol. 16(2), pages 387-417.
  31. Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2012. "Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models," Papers 1201.1840, arXiv.org, revised Oct 2012.
  32. Basak, Suleyman, 2002. "A comparative study of portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1217-1241, July.
  33. Patrick Beißner, 2013. "Radner equilibria under ambiguous volatility," Center for Mathematical Economics Working Papers 493, Center for Mathematical Economics, Bielefeld University.
  34. Jaksa Cvitanic & Elyès Jouini & Semyon Malamud & Clotilde Napp, 2011. "Financial Markets Equilibrium with Heterogeneous Agents," Review of Finance, European Finance Association, vol. 16(1), pages 285-321.
  35. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742 Elsevier.
  36. George Yungchih Wang, 2012. "Evaluating an Investment Project in an Incomplete Market," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 055-073, June.
  37. Yacine Ait-Sahalia & Andrew W. Lo, 2000. "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers 6130, National Bureau of Economic Research, Inc.
  38. Charalambos Aliprantis & Kim Border & Owen Burkinshaw, 1996. "Market economies with many commodities," Decisions in Economics and Finance, Springer, vol. 19(1), pages 113-185, March.
  39. repec:hal:journl:halshs-00657038 is not listed on IDEAS
  40. Frank Riedel & Frederik Herzberg, 2013. "Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets," Center for Mathematical Economics Working Papers 443, Center for Mathematical Economics, Bielefeld University.
  41. Angel Serrat, 2001. "A Dynamic Equilibrium Model of International Portfolio Holdings," Econometrica, Econometric Society, vol. 69(6), pages 1467-1489, November.
  42. repec:nbr:nberch:12923 is not listed on IDEAS
  43. Gordan Zitkovic, 2007. "Financial equilibria in the semimartingale setting: complete markets and markets with withdrawal constraints," Papers 0706.0462, arXiv.org.
  44. Talmain, Gabriel, 1999. "On the number of currencies needed to implement the complete asset market allocation," Journal of Mathematical Economics, Elsevier, vol. 31(2), pages 251-263, March.
  45. Peter Bossaerts & William R. Zame, 2005. "Asset Trading Volume in Infinite-Horizon Economies with Dynamically Complete Markets and Heterogeneous Agents: Comment," UCLA Economics Working Papers 841, UCLA Department of Economics.
  46. Timothy J Kehoe & David K Levine, 2006. "Bankruptcy and Collateral in Debt Constrained Models," Levine's Working Paper Archive 784828000000000698, David K. Levine.
  47. Peter A. Abken & Saikat Nandi, 1996. "Options and volatility," Economic Review, Federal Reserve Bank of Atlanta, issue Dec, pages 21-35.
  48. Gordan Zitkovic, 2009. "An example of a stochastic equilibrium with incomplete markets," Papers 0906.0208, arXiv.org, revised Jun 2010.
  49. Frank Milne & Dilip Madan & Hersh Shefrin, 1990. "The Multinomial Option Pricing Model and Its Brownian and Poisson Limits," Working Papers 1162, Queen's University, Department of Economics.
  50. Vila, Jean-Luc & Zariphopoulou, Thaleia, 1997. "Optimal Consumption and Portfolio Choice with Borrowing Constraints," Journal of Economic Theory, Elsevier, vol. 77(2), pages 402-431, December.
  51. José Penalva, 2003. "Implications of dynamic trading for insurance markets," Economics Working Papers 720, Department of Economics and Business, Universitat Pompeu Fabra.
  52. Tomas Philipson, 1991. "Dynamic information release," Journal of Economics, Springer, vol. 53(2), pages 205-213, June.
  53. Bryan Ellickson & José Penalva-Zuasti, 1996. "Intertemporal Insurance," Center for Financial Institutions Working Papers 96-19, Wharton School Center for Financial Institutions, University of Pennsylvania.
  54. Patrick Bolton & Neng Wang & Jinqiang Yang, 2015. "A Theory of Liquidity and Risk Management Based on the Inalienability of Risky Human Capital," NBER Working Papers 20979, National Bureau of Economic Research, Inc.
  55. Farid Mkouar & Jean-Luc Prigent, 2014. "Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation," Working Papers 2014-301, Department of Research, Ipag Business School.
  56. Felipe Zurita, 2004. "Essays on Speculation," Levine's Working Paper Archive 618897000000000849, David K. Levine.
  57. Wang, Xiao-Tian & Zhu, En-Hui & Tang, Ming-Ming & Yan, Hai-Gang, 2010. "Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian–fractional Brownian model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(3), pages 445-451.
  58. Chichilnisky, Graciela & Zhou, Yuqing, 1998. "Smooth infinite economies," Journal of Mathematical Economics, Elsevier, vol. 29(1), pages 27-42, January.
  59. Foldes, Lucien, 2000. "Valuation and martingale properties of shadow prices: An exposition," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1641-1701, October.
  60. Bryan Ellickson, 1995. "Intertemporal Insurance," UCLA Economics Working Papers 742, UCLA Department of Economics.
  61. Puri, Tribhuvan N., 1996. "Capital flows and net international investment," International Review of Financial Analysis, Elsevier, vol. 5(2), pages 113-130.
  62. repec:hal:journl:halshs-00155717 is not listed on IDEAS
  63. Christensen, Peter Ove & Larsen, Kasper & Munk, Claus, 2012. "Equilibrium in securities markets with heterogeneous investors and unspanned income risk," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1035-1063.
  64. E. Jouini & P. -F. Koehl & N. Touzi, 1997. "Incomplete markets, transaction costs and liquidity effects," The European Journal of Finance, Taylor & Francis Journals, vol. 3(4), pages 325-347.
  65. Li, Jing & Rugman, Alan M., 2007. "Real options and the theory of foreign direct investment," International Business Review, Elsevier, vol. 16(6), pages 687-712, December.
  66. Baptista, Alexandre M., 2003. "Spanning with American options," Journal of Economic Theory, Elsevier, vol. 110(2), pages 264-289, June.
  67. Jouini, Elyès, 2001. "Arbitrage and control problems in finance: A presentation," Economics Papers from University Paris Dauphine 123456789/5590, Paris Dauphine University.
  68. John Hatfield & Fuhito Kojima & Yusuke Narita, 2012. "Many-to-Many Matching with Max-Min Preferences," Discussion Papers 12-020, Stanford Institute for Economic Policy Research.
  69. Siddiqi, Hammad, 2013. "Mental Accounting: A Closed-Form Alternative to the Black Scholes Model," MPRA Paper 50759, University Library of Munich, Germany.
  70. Isabelle Bajeux-Besnainou & James V. Jordan & Roland Portait, 2001. "An Asset Allocation Puzzle: Comment," American Economic Review, American Economic Association, vol. 91(4), pages 1170-1179, September.
  71. Kourouvakalis, Stylianos, 2008. "Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/116 edited by Geman, Hélyette, May.
  72. Ricardo Caballero & Stavros Panageas, 2005. "A Quantitative Model of Sudden Stops and External Liquidity Management," NBER Working Papers 11293, National Bureau of Economic Research, Inc.
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