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Inversión bajo incertidumbre

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  • Elvio Accinelli

    (Facultad de Ingeniería, IMERL, Universidad de la República)

  • Daniel Vaz

Abstract

The aim of this paper is to relate the General Equilibrium Theory and modern Finance Theory. We work with an infinite dimensional economy with a market for goods an actives, and where the number of agents is finite. Each agent has an intertemporal utility function with uncertainty on the states of the world. We characterize the equilibrium with actives and spot goods and analyze sufficient conditions for the existence of equilibrium in this case. We show that it is possible to extend to infinite dimensional models the Chichilnisky theorem on uniqueness of equilibrium. Finally we analyze payoffs and prices of actives that follow Ito processes in a CCAPM frame.

Suggested Citation

  • Elvio Accinelli & Daniel Vaz, 1999. "Inversión bajo incertidumbre," Documentos de Trabajo (working papers) 1299, Department of Economics - dECON.
    • Handle: RePEc:ude:wpaper:1299
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    File URL: https://hdl.handle.net/20.500.12008/1898
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    References listed on IDEAS

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    4. Mas-Colell, Andreu, 1986. "The Price Equilibrium Existence Problem in Topological Vector Lattice s," Econometrica, Econometric Society, vol. 54(5), pages 1039-1053, September.
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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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