Stochastic equilibrium discounting
type: Item
instance of: scholarly article
title: Stochastic equilibrium discounting
zbMATH Open document ID: 0629.90016
DOI: 10.1016/S0165-1889(87)80014-3
author: Alain Nairay
publication date: 1987-01-01T00:00:00Z
review text: This paper considers the determination of equilibrium asset prices in an infinite-horizon diffusion model of an exchange economy. It is shown that asset prices can be expressed as properly weighted sums of asset payouts. Equilibrium properties are also investigated under the assumption that the state of the economy follows its invariant distribution.
Mathematics Subject Classification ID: 91B50
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 4025115
zbMATH Keywords: equilibrium asset prices
zbMATH Keywords: infinite-horizon diffusion model
zbMATH Keywords: exchange economy
MaRDI profile type: Publication
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published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 4025115