Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints
Year of publication: |
1997-03-01
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Authors: | Detemple, Jérôme B. ; Murthy, Shashidhar |
Institutions: | Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) |
Subject: | Equilibrium asset prices | no-arbitrage | frictions | consumptiom-value | speculative-value | collateral-value | derivative markets | Prix d'équilibre des titres | absence d'arbitrage | valeur de consommation | valeur spéculative | valeur de collatéral | titres dérivés |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | 41 pages |
Classification: | C60 - Mathematical Methods and Programming. General ; D52 - Incomplete Markets ; D91 - Intertemporal Consumer Choice; Life Cycle Models and Saving ; G12 - Asset Pricing |
Source: |
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Asset and Commodity Prices with Multiattribute Durable Goods
Detemple, Jérôme B., (1995)
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Asset Prices and Insurance Loadings
Malamud, Semyon, (2007)
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The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model
Niehaus, Frank, (2001)
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Equilibrium asset prices and no-arbitrage with portfolio constraints
Detemple, Jérôme B., (1997)
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Intertemporal asset pricing with heterogeneous beliefs
Detemple, Jérôme B., (1994)
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Dynamic Equilibrium with Liquidity Constraints
Detemple, Jérôme B., (1998)
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