Two-Person Dynamic Equilibrium: Trading in the Capital Market
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Other versions of this item:
- Bernard Dumas, 1986. "Two-Person Dynamic Equilibrium: Trading in the Capital Market," NBER Working Papers 2016, National Bureau of Economic Research, Inc.
- Bernard Dumas, "undated". "Two-Person Dynamic Equilibrium: Trading in the Capital Market," Rodney L. White Center for Financial Research Working Papers 07-88, Wharton School Rodney L. White Center for Financial Research.
- Bernard Dumas, "undated". "Two-Person Dynamic Equilibrium: Trading in the Capital Market," Rodney L. White Center for Financial Research Working Papers 11-86, Wharton School Rodney L. White Center for Financial Research.
References listed on IDEAS
- Brennan, Michael J. & Schwartz, Eduardo S., 1982. "An Equilibrium Model of Bond Pricing and a Test of Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(3), pages 301-329, September.
- Hakansson, Nils H, 1971. "On Optimal Myopic Portfolio Policies, With and Without Serial Correlation of Yields," The Journal of Business, University of Chicago Press, vol. 44(3), pages 324-334, July.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-384, March.
- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
- Robert A. Becker, 1980. "On the Long-Run Steady State in a Simple Dynamic Model of Equilibrium with Heterogeneous Households," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 95(2), pages 375-382.
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Cited by:
- Agostino Capponi & Martin Larsson, 2011. "Default and Systemic Risk in Equilibrium," Papers 1108.1133, arXiv.org, revised Dec 2011.
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