Rational asset pricing bubbles and portfolio constraints

DOI10.1016/j.jet.2012.05.003zbMath1258.91074OpenAlexW3121938912MaRDI QIDQ694734

Julien Hugonnier

Publication date: 13 December 2012

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2012.05.003

zbMATH Keywords

general equilibriumrational bubblesportfolio constraintsreal indeterminacylimited participation

Mathematics Subject Classification ID

Related Items (20)

Uniqueness in Cauchy problems for diffusive real-valued strict local martingales ⋮ Asset price bubbles, market liquidity, and systemic risk ⋮ Robust pricing and hedging under trading restrictions and the emergence of local martingale models ⋮ Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles ⋮ A note on effects of rational bubble on portfolios ⋮ Informational Efficiency under Short Sale Constraints ⋮ The Formation of Financial Bubbles in Defaultable Markets ⋮ On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets ⋮ Trading Constraints in Continuous-Time Kyle Models ⋮ Existence of an equilibrium with limited participation ⋮ Portfolio constraints, differences in beliefs and bubbles ⋮ A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES ⋮ Price impact in Nash equilibria ⋮ Asset pricing in an imperfect world ⋮ On aggregation and representative agent equilibria ⋮ An example of a stochastic equilibrium with incomplete markets ⋮ Concavity, stochastic utility, and risk aversion ⋮ Filtration shrinkage, strict local martingales and the Föllmer measure ⋮ Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences ⋮ Financial asset price bubbles under model uncertainty

Cites Work

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