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Valuation and Asset Pricing in Infinite Horizon Sequential Markets with Portfolio Constraints

Author

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  • Huang, K.X.

Abstract

This paper is concerned with the issue of payoff valuation and asset pricing in sequential markets with portfolio constraints.

Suggested Citation

  • Huang, K.X., 1999. "Valuation and Asset Pricing in Infinite Horizon Sequential Markets with Portfolio Constraints," Papers 302, Minnesota - Center for Economic Research.
    • Handle: RePEc:fth:minner:302
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    Cited by:

    1. Gokan, Toshitaka & Kichko, Sergey & Thisse, Jacques-François, 2019. "How do trade and communication costs shape the spatial organization of firms?," Journal of Urban Economics, Elsevier, vol. 113(C).
    2. Huang, Kevin X. D., 2002. "On infinite-horizon minimum-cost hedging under cone constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 27(2), pages 283-301, December.

    More about this item

    Keywords

    FINANCIAL MARKET ; ARBITRAGE ; PRICING;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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