Analyzing Equilibrium in Incomplete Markets with Model Uncertainty
Title | Analyzing Equilibrium in Incomplete Markets with Model Uncertainty PDF eBook |
Author | Daisuke Yoshikawa |
Publisher | |
Pages | 29 |
Release | 2015 |
Genre | |
ISBN |
In this paper, we analyze equilibrium in incomplete markets of random endowments by adopting utility indifference pricing and utility-based pricing. Addressing model uncertainty, we also consider agents who adopt max/min expected utility and a risk management policy. Using this framework, we demonstrate the existence of equilibrium. Moreover, we clarify the differences in the features of equilibria derived using these methods. Further, we show that the traded amount of random endowments in equilibrium by indifference pricing depends on the level of risk aversion, initial capital, and agents' risk limits.
Theory of Incomplete Markets
Title | Theory of Incomplete Markets PDF eBook |
Author | Michael Magill |
Publisher | MIT Press |
Pages | 566 |
Release | 2002 |
Genre | Business & Economics |
ISBN | 9780262632546 |
Theory of incompl. markets/M. Magill, M. Quinzii. - V.1.
Organization with Incomplete Information
Title | Organization with Incomplete Information PDF eBook |
Author | Mukul Majumdar |
Publisher | Cambridge University Press |
Pages | 372 |
Release | 1998-09-13 |
Genre | Business & Economics |
ISBN | 9780521553001 |
There have been systematic attempts over the last twenty-five years to explore the implications of decision making with incomplete information and to model an 'economic man' as an information-processing organism. These efforts are associated with the work of Roy Radner, who joins other analysts in this collection to offer accessible overviews of the existing literature on topics such as Walrasian equilibrium with incomplete markets, rational expectations equilibrium, learning, Markovian games, dynamic game-theoretic models of organization, and experimental work on mechanism selection. Some essays also take up relatively new themes related to bounded rationality, complexity of decisions, and economic survival. The collection overall introduces models that add to the toolbox of economists, expand the boundaries of economic analysis, and enrich our understanding of the inefficiencies and complexities of organizational design in the presence of uncertainty.
Asymptotic Methods for Asset Market Equilibrium Analysis
Title | Asymptotic Methods for Asset Market Equilibrium Analysis PDF eBook |
Author | Kenneth L. Judd |
Publisher | |
Pages | 48 |
Release | 2010 |
Genre | |
ISBN |
General equilibrium analysis is difficult when asset markets are incomplete. We make the simplifying assumption that uncertainty is small and use bifurcation methods to compute Taylor series approximations for asset demand and asset market equilibrium. A computer must be used to derive these approximations since they involve large amounts of algebraic manipulation. To illustrate this method, we apply it to analyzing the allocative, price, and welfare effects of introducing a new derivative security. We find that the introduction of any derivative will raise the value of the risky asset relative to bonds.
Information Structures in Economics
Title | Information Structures in Economics PDF eBook |
Author | Manfred Nermuth |
Publisher | Springer |
Pages | 256 |
Release | 1982 |
Genre | Business & Economics |
ISBN |
Differential Topology and General Equilibrium with Complete and Incomplete Markets
Title | Differential Topology and General Equilibrium with Complete and Incomplete Markets PDF eBook |
Author | Antonio Villanacci |
Publisher | Springer Science & Business Media |
Pages | 495 |
Release | 2013-04-17 |
Genre | Mathematics |
ISBN | 1475736193 |
General equilibrium In this book we try to cope with the challenging task of reviewing the so called general equilibrium model and of discussing one specific aspect of the approach underlying it, namely, market completeness. With the denomination "general equilibrium" (from now on in short GE) we shall mainly refer to two different things. On one hand, in particular when using the expression "GE approach", we shall refer to a long established methodolog ical tradition in building and developing economic models, which includes, as of today, an enormous amount of contributions, ranging in number by several 1 thousands • On the other hand, in particular when using the expression "stan dard differentiable GE model", we refer to a very specific version of economic model of exchange and production, to be presented in Chapters 8 and 9, and to be modified in Chapters 10 to 15. Such a version is certainly formulated within the GE approach, but it is generated by making several quite restrictive 2 assumptions • Even to list and review very shortly all the collective work which can be ascribed to the GE approach would be a formidable task for several coauthors in a lifetime perspective. The book instead intends to address just a single issue. Before providing an illustration of its main topic, we feel the obligation to say a word on the controversial character of GE. First of all, we should say that we identify the GE approach as being based 3 on three principles .
Existence of Equilibrium in Incomplete Markets with Non-ordered Preferences
Title | Existence of Equilibrium in Incomplete Markets with Non-ordered Preferences PDF eBook |
Author | Erkan Yalcin |
Publisher | |
Pages | |
Release | 2010 |
Genre | Equilibrium (Economics) |
ISBN |
In this paper we extend the results of recent studies on the existence of equilibrium in finite dimensional asset markets for both bounded and unbounded economies. We do not assume that the individual's preferences are complete or transitive. Our existence theorems for asset markets allow for short selling. We shall also show that the equilibrium achieves a constrained core within the same framework.