Artikel
Ergodic Markov equilibrium with incomplete markets and short sales
This paper studies recursive exchange economies with short sales. Agents maximize discounted expected utility. The asset structure is general and includes real securities, infinite-lived stocks, options, and other derivatives. The main result shows the existence of a competitive equilibrium process that is stationary and has an invariant ergodic measure. Ergodicity is required in finance for time series analysis of structural asset pricing models. This equilibrium property is difficult to obtain when heterogeneous agents can accumulate debt over time. Bounded marginal utility is shown to be a key condition for ergodicity in this setting.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Theoretical Economics ; ISSN: 1555-7561 ; Volume: 8 ; Year: 2013 ; Issue: 1 ; Pages: 41-57 ; New Haven, CT: The Econometric Society
- Klassifikation
-
Wirtschaft
Incomplete Markets
Information, Knowledge, and Uncertainty: General
Micro-Based Behavioral Economics: General‡
General Financial Markets: General (includes Measurement and Data)
- Thema
-
General equilibrium
incomplete markets
recursive
markov
stationary
ergodic
existence
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Braido, Luis H. B.
- Ereignis
-
Veröffentlichung
- (wer)
-
The Econometric Society
- (wo)
-
New Haven, CT
- (wann)
-
2013
- DOI
-
doi:10.3982/TE799
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Braido, Luis H. B.
- The Econometric Society
Entstanden
- 2013
Ähnliche Objekte (12)
Quasi-ergodic limits for finite absorbing Markov chains
Ergodic behavior of Markov processes : with applications to limit theorems
On a Markov game with incomplete information
Equilibrium states and the ergodic theory of Anosov diffeomorphisms
Equilibrium states and the ergodic theory of Anosov diffeomorphismus
Incomplete Equilibrium with Stochastic Interest Rates
Expectations and Equilibrium with Incomplete Markets
Unique equilibrium in contests with incomplete information
Equilibrium in misspecified Markov decision processes
Indeterminacy of Cournot–Walras equilibrium with incomplete markets
Structure of general equilibrium models with incomplete markets
Indeterminacy of Cournot–Walras equilibrium with incomplete markets
Quasi-ergodic limits for finite absorbing Markov chains
Ergodic behavior of Markov processes : with applications to limit theorems
On a Markov game with incomplete information
Equilibrium states and the ergodic theory of Anosov diffeomorphisms
Equilibrium states and the ergodic theory of Anosov diffeomorphismus
Incomplete Equilibrium with Stochastic Interest Rates
Expectations and Equilibrium with Incomplete Markets
Unique equilibrium in contests with incomplete information
Equilibrium in misspecified Markov decision processes
Indeterminacy of Cournot–Walras equilibrium with incomplete markets
Structure of general equilibrium models with incomplete markets
Indeterminacy of Cournot–Walras equilibrium with incomplete markets
Quasi-ergodic limits for finite absorbing Markov chains
Ergodic behavior of Markov processes : with applications to limit theorems
On a Markov game with incomplete information
Equilibrium states and the ergodic theory of Anosov diffeomorphisms
Equilibrium states and the ergodic theory of Anosov diffeomorphismus
Incomplete Equilibrium with Stochastic Interest Rates
Expectations and Equilibrium with Incomplete Markets
Unique equilibrium in contests with incomplete information
Equilibrium in misspecified Markov decision processes
Indeterminacy of Cournot–Walras equilibrium with incomplete markets
Structure of general equilibrium models with incomplete markets