In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic programming approach, we exploit the concavity of the...

We analyze the life cycle consumption choice model for multiple goods, focusing on the distinction between durables and perishables. As an approximation of the fact that rather high transaction costs and market imperfections prevail in markets for used durables, we assume that investment in...

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

We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.

In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic programming approach, we exploit the concavity of the...