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The influence of heterogeneous preferences on asset prices in an incomplete market model
Niehaus, Frank - 2001
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 construction of a riskless hedge-portfolio to valuate the option is … assets, including the price of the option. This stays in contrast to the Black-Scholes analysis, where the option is a …
Persistent link: https://www.econbiz.de/10011526229
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Long-run heterogeneity in an exchange economy with fixed-mix traders
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2015
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...
Persistent link: https://www.econbiz.de/10011386757
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Long-run heterogeneity in an exchange economy with fixed-mix traders
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2015
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...
Persistent link: https://www.econbiz.de/10011564737
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The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model
Niehaus, Frank - 2001
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 construction of a riskless hedge-portfolio to valuate the option is … assets, including the price of the option. This stays in contrast to the Black-Scholes analysis, where the option is a …
Persistent link: https://www.econbiz.de/10010317575
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The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model
Niehaus, Frank - Society for Computational Economics - SCE - 2001
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 construction of a riskless hedge-portfolio to valuate the option is … assets, including the price of the option. This stays in contrast to the Black-Scholes analysis, where the option is a …
Persistent link: https://www.econbiz.de/10005345558
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The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model
Niehaus, Frank - Center for Nonlinear Dynamics in Economics and Finance … - 2001
, 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 construction of a riskless hedge-portfolio to valuate the option is … assets, including the price of the option. This stays in contrast to the Black-Scholes analysis, where the option is a …
Persistent link: https://www.econbiz.de/10005823310
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The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model
Niehaus, Frank - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2001
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 construction of a riskless hedge-portfolio to valuate the option is … assets, including the price of the option. This stays in contrast to the Black-Scholes analysis, where the option is a …
Persistent link: https://www.econbiz.de/10005464663
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Dynamic utility indifference valuation via convex risk measures
Klöppel, Susanne; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2005
We study the dynamic utility indifference value process p(X) when the usefulness of X is evaluated via a dynamic monetary concave utility functional (DMCUF) instead of von Neumann/Morgenstern expected utility. A DMCUF is minus a dynamic convex risk measure. The key tools for our investigations...
Persistent link: https://www.econbiz.de/10005858886
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Complete and Incomplete Markets with Short-Sale Constraints
Giménez, Eduardo L. - 2001
This paper argues that the introduction of a short-sale constraint in the Arrow-Radner frameworkinvalidates standard definitions of complete and incomplete markets. In this constrained set-up,two threshold values with familiar properties arise.The case of a zero short-sale bound set on some...
Persistent link: https://www.econbiz.de/10010324858
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Asset returns in an endogenous growth model with incomplete markets
Krebs, Tom; Wilson, Bonnie - 2002
This paper analyzes a class of stochastic endogenous growth models with uninsurable idiosyncratic income risk. The model economy is populated by infinitely-lived households who own and operate their own business, work for a stock company, and participate in stock and bond markets. Households...
Persistent link: https://www.econbiz.de/10010318914