相关论文: Stability of Equilibrium Asset Pricing Models: A N…

In an incomplete semimartingale model of a financial market, we consider several risk-averse financial agents who negotiate the price of a bundle of contingent claims. Assuming that the agents' risk preferences are modelled by convex…

We show that a large effective number of commodities can be a source of equilibrium stability and uniqueness: expanding substitution opportunities strengthens aggregate substitution effects. We study finite dated-commodity exchange…

For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…

We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…

We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state…

We study equilibrium in hedonic markets, when consumers and suppliers have reservation utilities, and the utility functions are separable with respect to price. There is one indivisible good, which comes in different qualities; each…

In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…

This paper develops a theory of competitive equilibrium with indivisible goods based entirely on economic conditions on demand. The key idea is to analyze complementarity and substitutability between bundles of goods, rather than merely…

This tutorial describes recently developed general optimality conditions for Markov Decision Processes that have significant applications to inventory control. In particular, these conditions imply the validity of optimality equations and…

This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose a tractable model where agents maximize…

This paper characterizes equilibrium properties of a broad class of economic models that allow multiple heterogeneous agents to interact in heterogeneous manners across several markets. Our key contribution is a new theorem providing…

We provide sufficient conditions for the existence and uniqueness of solutions to a stochastic differential equation which arises in a price impact model. These conditions are stated as smoothness and boundedness requirements on utility…

We prove existence and uniqueness of stochastic equilibria in a class of incomplete continuous-time financial environments where the market participants are exponential utility maximizers with heterogeneous risk-aversion coefficients and…

We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and the mean-field interaction of the representative company…

This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…

We study existence, uniqueness and computability of solutions for a class of discrete time recursive utilities models. By combining two streams of the recent literature on recursive preferences---one that analyzes principal eigenvalues of…

We study the equilibria of uniform price auctions where many asymmetric bidders have flat demands up to their respective quantity constraints. We present an iterative procedure that systematically finds an equilibrium outcome as well as an…

Under the same assumptions made by Mas-Colell et al. (1995), I develop a short, simple, and complete proof of existence of equilibrium prices based on excess demand functions. The result is obtained by applying the Brouwer fixed point…

We study a model of vendors competing to sell a homogeneous product to customers spread evenly along a linear city. This model is based on Hotelling's celebrated paper in 1929. Our aim in this paper is to present a necessary and sufficient…

We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…