Incomplete markets and volatility
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Publication:5945729
DOI10.1006/jeth.2000.2720zbMath0997.91033OpenAlexW3125029333MaRDI QIDQ5945729
Publication date: 14 October 2001
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/63ec447af41d8312777c64121e1dcf1b53be9f43
Auctions, bargaining, bidding and selling, and other market models (91B26) General equilibrium theory (91B50)
Related Items (12)
Incomplete financial markets and jumps in asset prices ⋮ Recursive equilibrium in endogenous growth models with incomplete markets ⋮ Incomplete-market dynamics in a neoclassical production economy ⋮ Huggett economies with multiple stationary equilibria ⋮ Existence of a Radner equilibrium in a model with transaction costs ⋮ Equilibrium in securities markets with heterogeneous investors and unspanned income risk ⋮ Price impact in Nash equilibria ⋮ Incomplete market dynamics and cross-sectional distributions ⋮ Multifrequency jump-diffusions: An equilibrium approach ⋮ Price stabilizing, Pareto improving policies ⋮ An incomplete equilibrium with a stochastic annuity ⋮ Ignorance, pervasive uncertainty, and household finance
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