We discover that letting agents pairwise sequentially exchange at "wrong" prices has a robust effect on prices at convergence. If the initial relative price for a good is cheaper than the equilibrium walrasian price due to initial endowments, the initial excess demand effect pushes resource...

We analyze the joint effect of borrowing and short-sale constraints in a dynamic economy populated by two constrained investors with heterogeneous risk aversions and beliefs. We find that equilibrium prices adjust in such a way that the constraints never simultaneously bind. When the constraints...

This paper studies the dynamic behavior of asset prices using a chartist - fundamentalist model with two speculative markets. To this effect, we employ a differential system with delays similar to Dibeh (2007) to describe the price dynamics and we assume that the two markets are coupled via...

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.

Stockholders are faced with both macroeconomic uncertainty and uncertainty that is generated from fears. We develop a financial stress factor as a proxy for pessimism that operates through stockholders' expectations about the elevated market volatility and shocks the cross-section of stock...

Considering a production economy with an arbitrary von-Neumann Morgenstern utility, this paper derives a general equilibrium relationship between the market prices of risks and market risk aversion under a continuous time stochastic volatility model completed by liquidly traded options....

We introduce a new class of flexible and tractable matrix affine jump-diffusions (AJD) to model multivariate sources of financial risk. We first provide a complete transform analysis of this model class, which opens a range of new potential applications to, e.g., multivariate option pricing with...

We study an economy populated by three groups of logarithmic agents: Constrained agents subject to a portfolio constraint that limits their risk-taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to uncollateralized credit. Such credit...

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices. -- General equilibrium ; Continuous-time finance ; Théorie générale of stochastic processes ; Asset pricing ; State prices

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...