Information structure and equilibrium asset prices
type: Item
instance of: scholarly article
title: Information structure and equilibrium asset prices
zbMATH Open document ID: 0553.90027
DOI: 10.1016/0022-0531(85)90061-4
published in: Journal of Economic Theory
publication date: 1985-01-01T00:00:00Z
full work available at URL: http://hdl.handle.net/1721.1/48221
review text: In a continuous trading economy, it is shown that if information is revealed continuously and if agents' preferences are continuous in a certain topology, then equilibrium asset price processes must have continuous sample paths. Except for uninteresting cases, the sample paths of price processes will be of unbounded variation. In particular, if the information is generated by a Brownian motion, then equilibrium asset price processes are Ito integrals. When information is not revealed continuously, the times (which may be random) at which prices can have jumps are identified.
Mathematics Subject Classification ID: 91B62
zbMATH DE Number: 3882156
zbMATH Keywords: information structure
zbMATH Keywords: continuous trading economy
zbMATH Keywords: equilibrium asset price processes
zbMATH Keywords: continuous sample paths
zbMATH Keywords: Brownian motion
zbMATH Keywords: Ito integrals
author: Chi-fu Huang
MaRDI profile type: Publication
OpenAlex ID: W2089314831
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description: scientific article; zbMATH DE number 3882156