This paper proves the existence of a general equilibrium in a financial model with transaction costs. The general equilibrium is shown to exist in a model with convex trading technology, in which the agents include consumers, production firms, brokers and dealers. When the trading technology is...

We demonstrate that in a CAPM economy Homogeneity,Walras' Law, and the Tobin Separation Property characterize market demand on finite sets of prices. Consequently, for any number n there exist CAPM economies which have at least n equilibria and hence have n different beta pricing formulas....

After taking into account positive transaction costs via tackling static nonlinear programming with dynamic programming, this paper reaches three main conclusions: 1) The aggregate excess demand function of each market will be discontinuous at many price points, but the transfiguration of the...

In this paper we study the existence of bubbles for pricing equilibria in a pure exchange economy a la Lucas, with infinitely lived homogeneous agents. The model is analyzed under fairly general assumptions: no restrictions either on the stochastic process governing dividends' distribution or on...

Under the assumption of normally distributed returns, we analyze whether the Cumulative Prospect Theory of Tversky and Kahneman (1992) is consistent with the Capital Asset Pricing Model. We find that in every financial market equilibrium, the Security Market Line Theorem holds. However, under...

We introduce differential information in the asset market model studied by Cheng (1991), Dana and Le Van and Le Van and Truong Xuan (2001). We prove an equilibrium existence result assuming that the economy's information structure satisfies the conditional independence property. If private...

In this paper we study the existence of bubbles for pricing equilibria in a pure Exchange Economy a la Lucas, with infinitely lived homogeneous agents. The model is analyzed under fairly general assumptions: no restrictions either on the stochastic process governing dividends' distribution or on...

Markowitz and Sharpe won the Nobel Prize in Economics for the development of Mean-Variance (M-V) analysis and the Capital Asset Pricing Model (CAPM). Kahneman won the Nobel Prize in Economics for the development of Prospect Theory. In deriving the CAPM, Sharpe, Lintner and Mossin assume expected...

We prove the non-emptiness of the core of an NTU game satisfying a condition of payoff-dependent balancedness, based on transfer rate mappings. We also define a new equilibrium condition on transfer rates and we prove the existence of core payoff vectors satisfying this condition. The additional...

A large class of stochastic OLG economies with nonclassical production is shown to possess a unique Markov Equilibrium (ME) which is also the unique sequential equilibrium. Additional properties such as monotonicity, continuity, and smoothness of the ME are also discussed.