We prove the existence of equilibrium in a continuous-time finance model; our results include the case of dynamically incomplete markets as well as dynamically complete markets. In addition, we derive explicitly the stochastic process describing securities prices. The price process depends on the risk-aversion characteristics of the utility function, as well as on the presence of additional sources of wealth (including endowments and other securities). With a single stock, zero endowment in the terminal period, and Constant Relative Risk Aversion (CRRA) utility, the price process is geometric Brownian motion; in essentially any other situation, the price process is not a geometric Brownian motion. © Springer-Verlag 2005.
Raimondo, R. (2005). Market Clearing, Utility Functions, and Securities Prices. ECONOMIC THEORY, 25, 265-285.
|Citazione:||Raimondo, R. (2005). Market Clearing, Utility Functions, and Securities Prices. ECONOMIC THEORY, 25, 265-285.|
|Tipo:||Articolo in rivista - Articolo scientifico|
|Carattere della pubblicazione:||Scientifica|
|Titolo:||Market Clearing, Utility Functions, and Securities Prices|
|Data di pubblicazione:||2005|
|Digital Object Identifier (DOI):||http://dx.doi.org/10.1007/s00199-003-0445-5|
|Appare nelle tipologie:||01 - Articolo su rivista|