An economic premium principle in a multiperiod economy.
type: Item
instance of: scholarly article
title: An economic premium principle in a multiperiod economy.
zbMATH Open document ID: 1071.91025
DOI: 10.1016/S0167-6687(00)00081-0
author: Hideki Iwaki
author: Masaaki Kijima
author: Yuji Morimoto
published in: Insurance Mathematics \& Economics
publication date: 2003-11-16T00:00:00Z
review text: The authors consider a discrete-time consumption/portfolio model of a financial market. It is shown that, under certain technical conditions, an optimal consumption/portfolio process for each agent exists and that the state price density in an equilibrium can be obtained under the market clearing condition in terms of the Arrow-Pratt index of absolute risk aversion for the representative agent. Additionally, special cases of power and exponential utility functions, where the state price density is expressed in terms of the aggregate net income and the parameter of the utility functions, and some comparative statics results are presented.
reviewed by: Igor V. Konnov
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B50
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 2003982
zbMATH Keywords: consumption/portfolio multi-period model
zbMATH Keywords: equilibrium market
zbMATH Keywords: Arrow-Pratt index
MaRDI profile type: Publication
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full work available at URL: s0167-6687(00)00081-0
OpenAlex ID: W1965866519
Wikidata QID: Q127778707
description: scientific article; zbMATH DE number 2003982