We consider a pure exchange representative agent economy with perishable and durable commodities in which the durable good provides status as well as services. We examine the effects of the durable's attributes on demands and equilibrium prices. When the attributes are perfect substitutes...

We analyze an equilibrium model in which agents exposed to idiosyncratic risk can purchase insurance policies in addition to financial assets. The price of an insurance contract depends nonlinearly on the claims and explicitly contains safety loadings, proportional to variance. We consider...

In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond. The financial market is assumed to be incomplete and the option is not a redundant asset. In such a case the...

In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond. The financial market is assumed to be incomplete and the option is not a redundant asset. In such a case the...

We consider an exchange economy with heterogeneous agents and multiple assets and investigate the coupled dynamics of assets' prices and agents' wealth. We assume that agents have heterogeneous beliefs and invest on each asset a fraction of wealth proportional to its expected dividends. Our main...

In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond. The financial market is assumed to be incomplete and the option is not a redundant asset. In such a case the...

In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond.

This paper develops a general equilibrium, continuous time model where portfolio constraints generate mispricing between redundant securities. Constrained consumption-portfolio optimization techniques are adapted to incorporate redundant, possibly mispriced, securities. We demonstrate the...

In this paper, we examine an exchange economy with a financial market composed of three assets: shares of a stock, European call options written on the stock, and riskless bonds. The financial market is assumed to be incomplete and the option is not a redundant asset. In such a case the...