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Stochastic equilibria with incomplete financial markets

Citations

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Cited by:

  1. John Geanakoplos, 1989. "An Introduction to General Equilibrium with Incomplete Asset Markets," Cowles Foundation Discussion Papers 919, Cowles Foundation for Research in Economics, Yale University.
  2. 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.
  3. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach," Operations Research, INFORMS, vol. 49(3), pages 372-397, June.
  4. Hui Huang & Yi Wang & Yiming Wang & John Whalley & Shunming Zhang, 2005. "A Trade Model with an Optimal Exchange Rate Motivated by Current Discussion of a Chinese Renminbi Float," CESifo Working Paper Series 1471, CESifo.
  5. Dimitrios Konstantinides & Christos Kountzakis, 2014. "The restricted convex risk measures in actuarial solvency," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 287-318, October.
  6. Gourdel & Triki, 2005. "Monetary Policy with Incomplete Markets," Finance 0503026, University Library of Munich, Germany.
  7. Aouani, Zaier & Cornet, Bernard, 2009. "Existence of financial equilibria with restricted participation," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 772-786, December.
  8. Bernard Cornet & Abhishek Ranjan, 2013. "Equilibria in a multi-period economy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00801402, HAL.
  9. 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.
  10. Charalambos Aliprantis & Kim Border & Owen Burkinshaw, 1996. "Market economies with many commodities," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 19(1), pages 113-185, March.
  11. Bernard Cornet & Abhishek Ranjan, 2013. "Existence of equilibria via quasi-equilibria," Documents de travail du Centre d'Economie de la Sorbonne 13020, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  12. V.F. Martins-da-Rocha & L. Triki, 2005. "Equilibria in exchange economies with financial constraints: Beyond the Cass Trick," Microeconomics 0503013, University Library of Munich, Germany.
  13. Hui Huang & John Whalley & Shunming Zhang, 2009. "Exploring policy options in joint intertemporal-spatial trade models using an incomplete markets approach," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 41(1), pages 131-145, October.
  14. Bernard Cornet & Ramu Gopalan, 2010. "Arbitrage and equilibrium with portfolio constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 227-252, October.
  15. Sjur Flåm, 2009. "Pooling, pricing and trading of risks," Annals of Operations Research, Springer, vol. 165(1), pages 145-160, January.
  16. Zhang, S. M., 1996. "Extension of Stiemke's lemma and equilibrium in economies with infinite-dimensional commodity space and incomplete financial markets," Journal of Mathematical Economics, Elsevier, vol. 26(2), pages 249-268.
  17. Ning Sun & Zaifu Yang, 2003. "Existence of Equilibrium and Zero-Beta Pricing Formula in the Capital Asset Pricing Model with Heterogeneous Beliefs," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 51-71, May.
  18. Patrick Cheridito & Ulrich Horst & Michael Kupper & Traian A. Pirvu, 2016. "Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences," Mathematics of Operations Research, INFORMS, vol. 41(1), pages 174-195, February.
  19. Orrilo, Jaime, 2006. "Another Proof of the Existence of GEI Equilibrium with Default and Exogenous Collateral," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(1), May.
  20. Levine, David K., 1989. "Infinite horizon equilibrium with incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 18(4), pages 357-376, September.
  21. Anthropelos, Michail & Kardaras, Constantinos, 2024. "Price impact under heterogeneous beliefs and restricted participation," Journal of Economic Theory, Elsevier, vol. 215(C).
  22. Aouani, Zaier & Cornet, Bernard, 2011. "Reduced equivalent form of a financial structure," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 318-327.
  23. Pascal Gourdel & Leila Triki, 2005. "Incomplete markets and monetary policy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00193970, HAL.
  24. Laura Angeloni & Bernard Cornet, 2005. "Existence Of Financial Equilibria In A Multiperiod Stochastic Economy," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200506, University of Kansas, Department of Economics, revised Feb 2005.
  25. Florenzano, Monique & Gourdel, Pascal, 1994. "T-period economies with incomplete markets," Economics Letters, Elsevier, vol. 44(1-2), pages 91-97.
  26. Milne, Frank & Jin, Xing, 2006. "Taxation and Transaction Costs in a General Equilibrium Asset Economy," Queen's Economics Department Working Papers 273587, Queen's University - Department of Economics.
  27. Philippe Bich & Bernard Cornet, 2009. "Existence of pseudo-equilibria in a financial economy," Post-Print halshs-00426399, HAL.
  28. 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.
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