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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 …
Persistent link: https://www.econbiz.de/10003729456
We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about …
Persistent link: https://www.econbiz.de/10005002278
We develop a model that reproduces the return and volatility spread between sin and non-sin stocks, where investors trade off dividends with the ethical assessment of companies. We relax the assumption of boycott behaviour and investigate the role played by the dividend share of sin stocks on...
Persistent link: https://www.econbiz.de/10011724677
We develop a model that reproduces the average return and volatility spread between sin and non-sin stocks. Our investors do not necessarily boycott sin companies. Rather, they are open to invest in any company while trading off dividends against ethicalness. We show that when dividends and...
Persistent link: https://www.econbiz.de/10011867480
This paper introduces endogenous preference evolution into a Lucas-type economy and explores its consequences for investors' trading strategy and the dynamics of asset prices. In equilibrium, investors herd and hold the same portfolio of risky assets which is biased toward stocks of sectors that...
Persistent link: https://www.econbiz.de/10011440209
If agents are ambiguity-averse and can invest in productive assets, asset prices can robustly exhibit indeterminacy in the markets that open after the productive investment has been launched. For indeterminacy to occur, the aggregate supply of goods must appear in precise configurations but the...
Persistent link: https://www.econbiz.de/10011685225
Persistent link: https://www.econbiz.de/10012659556
We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about …
Persistent link: https://www.econbiz.de/10009452546
In the context of a continuous-time pure-exchange economy model, the paper develops a novel methodology, based on measure-valued stochastic processes, for analyzing the evolution of heterogeneity in a tractable manner and studying its impact on asset prices. The agents in the economy differ with...
Persistent link: https://www.econbiz.de/10011875753
Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law invariance and comonotonic additivity, then we get a...
Persistent link: https://www.econbiz.de/10014181761