Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents

Journal of Finance

Volumn 58, Issue 5, 2003, Pages 2203-2218

  Judd, Kenneth L ^b   Kubler, Felix ^a   Schmedders, Karl ^b  

^a STANFORD UNIVERSITY   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0142188109     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/1540-6261.00602     Document Type: Article

References (13)

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5. Debreu, Gerard, 1959, Theory of Value (Yale University Press, New Haven, CT).
6. Duffie, Darrell, 1988, Security Markets: Stochastic Models (Academic Press, London).
7. Kreps, David, 1982, Multi-period securities and the efficient allocation of risk: A comment on the Black-Scholes option pricing model, in John J. McCall, ed. The Economics of Information and Uncertainty (The University of Chicago Press, Chicago, IL).
8. Kubler, Felix, and K. Schmedders, 2003, Generic inefficiency of equilibria in the generic equilibrium model with incomplete asset markets and infinite time, Economic Theory 22, 1-15.
9. Lucas, Robert E. Jr., 1978, Asset prices in an exchange economy, Econometrica 46, 1429-1445.
10. Mas-Colell, Andreu, and William Zame, 1991, Equilibrium theory in infinite dimensional spaces, in Warner Hildenbrand, Hugo Sonnenschein, eds. Handbook of Mathematical Economics Vol. IV (Cambridge University Press, Cambridge).
11. Merton, Robert, 1971, Optimum consumption and portfolio rules in a continuous-time model, Journal of Economic Theory 3, 373-413.
12. Negishi, Takashi, 1960, Welfare economics and the existence of an equilibrium for a competitive economy, Metroeconomica 7, 92-97.
13. Viceira, Luis M., 2001, Optimal portfolio choice for long-horizon investors with nontradable labor income, Journal of Finance 56, 433-470.