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Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets

Citations

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Cited by:

  1. Martins-da-Rocha, V. Filipe & Riedel, Frank, 2010. "On equilibrium prices in continuous time," Journal of Economic Theory, Elsevier, vol. 145(3), pages 1086-1112, May.
  2. Kasper Larsen & Tanawit Sae Sue, 2015. "Radner equilibrium in incomplete Levy models," Papers 1507.02974, arXiv.org, revised Jul 2015.
  3. Gordan Žitković, 2012. "An example of a stochastic equilibrium with incomplete markets," Finance and Stochastics, Springer, vol. 16(2), pages 177-206, April.
  4. Patrick Beissner & Frank Riedel, 2014. "Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty," Papers 1409.6940, arXiv.org.
  5. Riedel, Frank & Herzberg, Frederik, 2013. "Existence of financial equilibria in continuous time with potentially complete markets," Journal of Mathematical Economics, Elsevier, vol. 49(5), pages 398-404.
  6. Fadina, Tolulope & Herzberg, Frederik, 2015. "Hyperfinite construction of G-expectation," Center for Mathematical Economics Working Papers 540, Center for Mathematical Economics, Bielefeld University.
  7. Qian Han, 2013. "A Linear Relationship between Market Prices of Risks and Risk Aversion in Complete Stochastic Volatility Models," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  8. Theodoros M. Diasakos, 2011. "A Simple Characterization of Dynamic Completeness in Continuous Time," Carlo Alberto Notebooks 211, Collegio Carlo Alberto.
  9. Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
  10. Qian Han & Calum G. Turvey, 2013. "A Robust Equilibrium Relationship between Market Prices of Risks and Risk Aversion in Dynamically Complete Stochastic," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  11. William R. Zame, 2022. "Asset Trading in Continuous Time: A Cautionary Tale," Papers 2207.03397, arXiv.org.
  12. Puru Gupta & Saul D. Jacka, 2023. "Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot," Papers 2309.16047, arXiv.org.
  13. Peter Bank & Dmitry Kramkov, 2015. "A model for a large investor trading at market indifference prices. I: Single-period case," Finance and Stochastics, Springer, vol. 19(2), pages 449-472, April.
  14. Luis Escauriaza & Daniel C. Schwarz & Hao Xing, 2020. "Radner equilibrium and systems of quadratic BSDEs with discontinuous generators," Papers 2008.03500, arXiv.org, revised May 2021.
  15. Bayer, Christian & Rendall, Alan D. & Wälde, Klaus, 2019. "The invariant distribution of wealth and employment status in a small open economy with precautionary savings," Journal of Mathematical Economics, Elsevier, vol. 85(C), pages 17-37.
  16. Martin Larsson, 2013. "Non-Equivalent Beliefs and Subjective Equilibrium Bubbles," Papers 1306.5082, arXiv.org.
  17. Jouini, Elyès & Napp, Clotilde, 2014. "How to aggregate experts' discount rates: An equilibrium approach," Economic Modelling, Elsevier, vol. 36(C), pages 235-243.
  18. Daniel C. Schwarz, 2015. "Market Completion with Derivative Securities," Papers 1506.00188, arXiv.org.
  19. Horst, Ulrich & Pirvu, Traian A. & Dos Reis, Gonçalo, 2010. "On securitization, market completion and equilibrium risk transfer," SFB 649 Discussion Papers 2010-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  20. Herzberg, Frederik, 2011. "On the foundations of Lévy finance. Equilibrium for a single-agent financial market with jumps," Center for Mathematical Economics Working Papers 406, Center for Mathematical Economics, Bielefeld University.
  21. Kim Weston, 2022. "Existence of an equilibrium with limited participation," Papers 2206.12399, arXiv.org.
  22. Paul Ehling & Christian Heyerdahl-Larsen, 2017. "Correlations," Management Science, INFORMS, vol. 63(6), pages 1919-1937, June.
  23. Dmitry Kramkov, 2015. "Existence of an endogenously complete equilibrium driven by a diffusion," Finance and Stochastics, Springer, vol. 19(1), pages 1-22, January.
  24. Darong Dai, 2013. "Wealth Martingale and Neighborhood Turnpike Property In Dynamically Complete Market With Heterogeneous Investors," Economic Research Guardian, Mutascu Publishing, vol. 3(2), pages 86-110, December.
  25. Dmitry Kramkov & Sergio Pulido, 2019. "Density of the set of probability measures with the martingale representation property," Post-Print hal-01598651, HAL.
  26. Jerome Detemple & Marcel Rindisbacher & Scott Robertson, 2020. "Dynamic Noisy Rational Expectations Equilibrium With Insider Information," Econometrica, Econometric Society, vol. 88(6), pages 2697-2737, November.
  27. Jarrow, Robert & Larsson, Martin, 2018. "On aggregation and representative agent equilibria," Journal of Mathematical Economics, Elsevier, vol. 74(C), pages 119-127.
  28. Patrick Beissner & Frank Riedel, 2018. "Non-implementability of Arrow–Debreu equilibria by continuous trading under volatility uncertainty," Finance and Stochastics, Springer, vol. 22(3), pages 603-620, July.
  29. Dmitry Kramkov & Silviu Predoiu, 2011. "Integral representation of martingales motivated by the problem of endogenous completeness in financial economics," Papers 1110.3248, arXiv.org, revised Oct 2012.
  30. Dai, Darong, 2011. "Wealth Martingale and Neighborhood Turnpike Property in Dynamically Complete Market with Heterogeneous Investors," MPRA Paper 46416, University Library of Munich, Germany.
  31. Kramkov, Dmitry & Predoiu, Silviu, 2014. "Integral representation of martingales motivated by the problem of endogenous completeness in financial economics," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 81-100.
  32. Dmitry Kramkov & Sergio Pulido, 2017. "Density of the set of probability measures with the martingale representation property," Working Papers hal-01598651, HAL.
  33. Beißner, Patrick, 2016. "Radner Equilibria under Ambiguous Volatility," Center for Mathematical Economics Working Papers 493, Center for Mathematical Economics, Bielefeld University.
  34. Anderson, Robert M. & Duanmu, Haosui & Ghosh, Aniruddha & Khan, M. Ali, 2024. "On existence of Berk-Nash equilibria in misspecified Markov decision processes with infinite spaces," Journal of Economic Theory, Elsevier, vol. 217(C).
  35. Daniel C. Schwarz, 2017. "Market completion with derivative securities," Finance and Stochastics, Springer, vol. 21(1), pages 263-284, January.
  36. Robert M. Anderson & Stephen W. Bianchi & Lisa R. Goldberg, 2015. "In search of statistically valid risk factors," Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 385-393, March.
  37. Dmitry Kramkov & Sergio Pulido, 2017. "Density of the set of probability measures with the martingale representation property," Papers 1709.07329, arXiv.org, revised Jul 2019.
  38. Alziary Chassat, Bénédicte & Takac, Peter, 2017. "On the Heston Model with Stochastic Volatility: Analytic Solutions and Complete Markets," TSE Working Papers 17-796, Toulouse School of Economics (TSE).
  39. Pierre Lavigne & Peter Tankov, 2023. "Decarbonization of financial markets: a mean-field game approach," Papers 2301.09163, arXiv.org.
  40. Theodoros M. Diasakos, 2011. "A Simple Characterization of Dynamic Completeness in Continuous Time," Carlo Alberto Notebooks 211, Collegio Carlo Alberto.
  41. Scott Robertson, 2023. "Equilibrium with Heterogeneous Information Flows," Papers 2304.01272, arXiv.org, revised Mar 2024.
  42. Diasakos, Theodoros M, 2013. "Comparative Statics of Asset Prices: the effect of other assets' risk," SIRE Discussion Papers 2013-94, Scottish Institute for Research in Economics (SIRE).
  43. Sun, Xiang & Sun, Yeneng & Yu, Haomiao, 2020. "The individualistic foundation of equilibrium distribution," Journal of Economic Theory, Elsevier, vol. 189(C).
  44. Constantinos Kardaras & Hao Xing & Gordan v{Z}itkovi'c, 2015. "Incomplete stochastic equilibria for dynamic monetary utility," Papers 1505.07224, arXiv.org, revised Feb 2017.
  45. Paolo Guasoni & Kasper Larsen & Giovanni Leoni, 2024. "Existence of an equilibrium with limited stock market participation and power utilities," Papers 2402.07185, arXiv.org, revised Feb 2024.
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