Viable prices in financial markets with solvency constraints

DOI10.1016/0304-4068(94)00682-ZzbMath0827.90008OpenAlexW1990166247MaRDI QIDQ1890932

Ayman Hindy

Publication date: 28 May 1995

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4068(94)00682-z

zbMATH Keywords

martingalesviabilitycontinuous tradingsecurities market model

Mathematics Subject Classification ID

Related Items

Dividends in the theory of derivative securities pricing, Collateral equilibrium. I: A basic framework, Why does bad news increase volatility and decrease leverage?, Arbitrage and viability in securities markets with fixed trading costs, ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asset pricing for general processes
• Information structures and viable price systems
• Martingales and arbitrage in multiperiod securities markets
• Arbitrage and equilibrium in economies with infinitely many commodities
• The permanent income hypothesis: A theoretical formulation
• Labor income, borrowing constraints, and equilibrium asset prices
• Hedging in incomplete markets with HARA utility
• On the fundamental theorem of asset pricing with an infinite state space
• Borrowing Constraints and Aggregate Economic Activity
• Intertemporal Preferences for Uncertain Consumption: A Continuous Time Approach
• EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Asset Pricing in Economies with Frictions
• Finitely Additive Measures