Duesenberry Equilibrium and Heterogenous Agents

DOI10.1137/18M1236174zbMath1448.91285OpenAlexW3123886592MaRDI QIDQ5123449

Jaime A. Londoño

Publication date: 28 September 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/18m1236174

zbMATH Keywords

stochastic flowsrelative income hypothesisDuesenberry equilibrium

Mathematics Subject Classification ID

Special types of economic equilibria (91B52) Portfolio theory (91G10) Heterogeneous agent models (91B69) Financial markets (91G15)

Uses Software

• Unnamed Item
• DiffProc
• Sim.DiffProc

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Existence of financial equilibria in continuous time with potentially complete markets
• State-dependent utilities and incomplete markets
• Investment under uncertainty: calculating the value function when the Bellman equation cannot be solved analytically
• Minimal Hellinger martingale measures of order \(q\)
• State tameness: a new approach for credit constrains
• Market clearing, utility functions, and securities prices
• Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
• Endogenous Completeness of Diffusion Driven Equilibrium Markets
• Other-Regarding Preferences in General Equilibrium
• A More General Valuation and Arbitrage Theory for Itô Processes
• Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets
• State-Dependent Utility
• An Intertemporal Capital Asset Pricing Model

This page was built for publication: Duesenberry Equilibrium and Heterogenous Agents