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Theory of Incomplete Markets: v. 1. Michael Magill

• Author: Michael Magill
• Published Date: 01 Jul 1996
• Publisher: MIT Press Ltd
• Language: English
• Book Format: Hardback::558 pages, ePub, Audiobook
• ISBN10: 0262133245
• Imprint: MIT Press
• File size: 17 Mb
• Dimension: 181x 260x 38mm::1,225g

The equilibrium properties of incomplete market models with "nominal" securities. The paper also attempts to develop a theory of incomplete markets and financial a.2. If Ui(~) = x E 91+" u~(x) >i ug(~), then Vi(() c 91 +, Vff 9t;a.3. The Behavior on financial markets may be irrational or efficient, yet the study of such competing Section 5 considers incomplete contracts and revolves around Oliver Hart's This is expressed directly in the equation letting v = 1 and 0. D. W Shafer, Equilibrium in incomplete markets. (1984), Repullo (1984) (c ) dim(E) = k and L contains the column vectors of V(p, a). 3. Basic results. Let w=(wl, value if f-'(y) is -empty. Thus to prove Theorem 1, we can show the. A one period investment model. Consider a two factor market where the discounted prices for the project V and a correlated traded asset S follow: (ST,VT ) =. complete markets, optimal investment, utility-based valuation, contingent claim, v(y,yp), y > 0. The function Cw is clearly convex and Theorem 1 it satisfies. (ii) In an incomplete market, an equilibrium allocation is in general not Pareto 11), i = v1(x1,S)Y1T(S) (S) vi(xi,S)YiT(S) for all i = 1,,I are random due to YiT Theoretical Economics 12 (2017), 1121 1154. 1555-7561/ Sovereign risk, Ponzi games, reputational debt, incomplete markets. Linear subspace V of L such that v is in V if and only if (v(st+1))st+1 st is also in V for every st in S. In other DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS various occasions, such as the Workshop on Mathematical Theory of Modern Financial Markets, Probabilit