Bubbles and multiplicity of equilibria under portfolioconstraints

This article shows that, as long as agents are required to maintain positivewealth, the presence of portfolio constraints may give rise to asset pricingbubbles in equilibrium even if there are unconstrained agents in the economywho can benefit from the induced arbitrage opportunity. Furthermore, it isshown that the presence of bubbles in the aggregate price system can lead toboth multiplicity and real indeterminacy of equilibrium.[...]

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Year of publication:	2008-09-26
Authors:	Hugonnier, Julien
Institutions:	Finrisk
Subject:	Portfoliomanagement \| portfolio management \| Aktienkurs \| Makroökonomisches Gleichgewicht \| Spekulative Blase \| Bubbles

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Extent:	728064 bytes 70 p. application/pdf
Series:	FINRISK Working Paper Series Working Paper ; No 501 (2008)
Type of publication:	Book / Working Paper
Language:	English
Classification:	D51 - Exchange and Production Economies ; D52 - Incomplete Markets ; D53 - Financial Markets ; G11 - Portfolio Choice ; G12 - Asset Pricing ; Procurement of capital ; Employment of capital, capital investment planning and estimate of investment profitability ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005868914