Journal ArticleDOI
Asset Equilibria in Lp Spaces with Complete Markets : A Duality Approach
R.A. Dana,C. Le Van +1 more
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In this article, the authors consider a pure exchange economy where agents' consumption spaces are L p and agents have Von Neuman-Morgenstem utilities, and characterize the set of utility weights that support Pareto optima and show that the utility set is closed.About:
This article is published in Journal of Mathematical Economics.The article was published on 1996-01-01. It has received 20 citations till now. The article focuses on the topics: Pareto principle & Uniqueness.read more
Citations
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Journal ArticleDOI
A model for a large investor trading at market indifference prices. I: single-period case.
Peter Bank,Dmitry Kramkov +1 more
TL;DR: A single-period model for a large economic agent who trades with market makers at their utility indifference prices is developed and the sensitivities of these market indifference prices are computed with respect to the size of the investor’s order.
Journal ArticleDOI
Portfolio dominance and optimality in infinite security markets
Charalambos D. Aliprantis,Charalambos D. Aliprantis,Charalambos D. Aliprantis,Donald J. Brown,Ioannis A. Polyrakis,Jan Werner,Jan Werner +6 more
TL;DR: In this paper, the authors study security markets with infinitely many securities and arbitrary finite portfolio holdings and show that optimal portfolio allocations and equilibria in security markets do exist, if portfolio dominance order is a lattice order and has a Yudin basis.
Journal ArticleDOI
Asset market equilibrium with short-selling and differential information
TL;DR: In this article, the authors introduce differential information in the asset market model studied by Cheng J Math Econ 20(1):137-152,1991, Dana and Le Van J MathEcon 25(3):263-280,1996, and this article showed that under the conditional independence property equilibrium contracts are always executable.
Journal ArticleDOI
A model for a large investor trading at market indifference prices. I: single-period case
Peter Bank,Dmitry Kramkov +1 more
TL;DR: In this article, a single-period model for a large economic agent who trades with market makers at their utility indifference prices is developed, where a key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal allocations in terms of the utility function of a representative market maker.
Journal ArticleDOI
Existence, uniqueness and determinacy of equilibrium in C.A.P.M. with a riskless asset
TL;DR: In this paper, the existence, uniqueness and determinacy of equilibrium in two period mean-variance C.A.M.P. with a riskless asset and possibly an infinite number of assets is studied.
References
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Journal ArticleDOI
An intertemporal capital asset pricing model
TL;DR: In this article, an intertemporal model for the capital market is deduced from portfolio selection behavior by an arbitrary number of investors who aot so as to maximize the expected utility of lifetime consumption and who can trade continuously in time.
Book
Mathematical methods of game and economic theory
TL;DR: In this paper, a unified treatment of optimization theory, game theory and a general equilibrium theory in economics in the framework of nonlinear functional analysis is presented, which not only provides powerful and versatile tools for solving specific problems in economics and the social sciences but also serves as a unifying theme in the mathematical theory of these subjects as well as in pure mathematics itself.
MonographDOI
The theory of general economic equilibrium : a differentiable approach
TL;DR: In this article, an anonymous, efficient allocations in continuum exchange economies are presented. But the allocations are not considered in this paper, as discussed in Section 5.1.1].
Book
The theory of general economic equilibrium
TL;DR: In this article, the authors present the analysis in a way which makes it accessible to the broader range of economic theorists and advanced students, and they also present an analysis based on differential topology.
Journal ArticleDOI
The consumption-based capital asset pricing model
Darrell Duffie,William R. Zame +1 more
TL;DR: In this article, the authors provide conditions on the primitives of a continuous-time economy under which there exist equilibria obeying the Consumption-Based Capital Asset Pricing Model (CCAPM).