메뉴 건너뛰기




Volumn 116, Issue 1, 2004, Pages 41-83

On trees and logs

Author keywords

Equilibrium theory; Lucas tree model; Nonuniqueness of equilibria; Peculiar financial equilibrium; Portfolio constraints

Indexed keywords


EID: 2342503320     PISSN: 00220531     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jet.2003.05.001     Document Type: Article
Times cited : (21)

References (22)
  • 1
    • 0032219870 scopus 로고    scopus 로고
    • Options and sunspots in a simple monetary economy
    • G. Antinolfi, T. Keister, Options and sunspots in a simple monetary economy, Econ. Theory 11 (1998) 295-315.
    • (1998) Econ. Theory , vol.11 , pp. 295-315
    • Antinolfi, G.1    Keister, T.2
  • 2
    • 34447468563 scopus 로고
    • The role of securities in the optimal allocation of risk-bearing
    • K.J. Arrow, The role of securities in the optimal allocation of risk-bearing, Rev. Econ. Stud. 31 (1964) 91-96.
    • (1964) Rev. Econ. Stud. , vol.31 , pp. 91-96
    • Arrow, K.J.1
  • 3
    • 0001279990 scopus 로고
    • The structure of financial equilibrium with exogenous yields: The case of incomplete markets
    • Y. Balasko, D. Cass, The structure of financial equilibrium with exogenous yields: the case of incomplete markets, Econometrica 57 (1989) 135-162.
    • (1989) Econometrica , vol.57 , pp. 135-162
    • Balasko, Y.1    Cass, D.2
  • 4
    • 0012941787 scopus 로고
    • Existence of equilibria with incomplete markets: The case of smooth returns
    • J.-M. Bottazzi, Existence of equilibria with incomplete markets: the case of smooth returns, J. Math. Econ. 24 (1995) 59-72.
    • (1995) J. Math. Econ. , vol.24 , pp. 59-72
    • Bottazzi, J.-M.1
  • 5
    • 0002097629 scopus 로고
    • Sunspots and incomplete financial markets: The leading example
    • G. Feiwel (Ed.), New York University Press, New York, NY
    • D. Cass, Sunspots and incomplete financial markets: the leading example, in: G. Feiwel (Ed.), The Economics of Imperfect Competition and Employment: Joan Robinson and Beyond, New York University Press, New York, NY, 1989, pp. 677-693.
    • (1989) The Economics of Imperfect Competition and Employment: Joan Robinson and Beyond , pp. 677-693
    • Cass, D.1
  • 6
    • 0342800057 scopus 로고
    • Perfect equilibrium in incomplete financial markets: An elementary exposition
    • L.W. McKenzie, S. Zamagni (Eds.), New York University Press, New York, NY
    • D. Cass, Perfect equilibrium in incomplete financial markets: an elementary exposition, in: L.W. McKenzie, S. Zamagni (Eds.), Value and Capital, Fifty Years Later, New York University Press, New York, NY, 1991, pp. 121-144.
    • (1991) Value and Capital, Fifty Years Later , pp. 121-144
    • Cass, D.1
  • 7
  • 8
    • 44949278340 scopus 로고
    • Commodity trade and international risk sharing: How much do financial markets matter?
    • H. Cole, M. Obstfeld, Commodity trade and international risk sharing: how much do financial markets matter?, J. Monet. Econ. 28 (1991) 3-24.
    • (1991) J. Monet. Econ. , vol.28 , pp. 3-24
    • Cole, H.1    Obstfeld, M.2
  • 9
    • 0002720622 scopus 로고
    • Optimal consumption and portfolio policies when asset prices follow a diffusion process
    • J. Cox, C.-F. Huang, Optimal consumption and portfolio policies when asset prices follow a diffusion process, J. Econ. Theory 49 (1989) 33-83.
    • (1989) J. Econ. Theory , vol.49 , pp. 33-83
    • Cox, J.1    Huang, C.-F.2
  • 10
    • 0001071035 scopus 로고
    • Equilibrium in incomplete markets: I - A basic model of generic existence
    • D. Duffie, W. Shafer, Equilibrium in incomplete markets: I - a basic model of generic existence, J. Math. Econ. 14 (1985) 285-300.
    • (1985) J. Math. Econ. , vol.14 , pp. 285-300
    • Duffie, D.1    Shafer, W.2
  • 11
    • 0000593909 scopus 로고
    • Generic inefficiency of stock market equilibrium when markets are incomplete
    • J. Geanakoplos, M. Magill, M. Quinzii, J. Drèze, Generic inefficiency of stock market equilibrium when markets are incomplete, J. Math. Econ. 19 (1990) 113-151.
    • (1990) J. Math. Econ. , vol.19 , pp. 113-151
    • Geanakoplos, J.1    Magill, M.2    Quinzii, M.3    Drèze, J.4
  • 12
    • 0000930326 scopus 로고
    • On the optimality of equilibrium when the market structure is incomplete
    • O. Hart, On the optimality of equilibrium when the market structure is incomplete, J. Econ. Theory 11 (1975) 418-443.
    • (1975) J. Econ. Theory , vol.11 , pp. 418-443
    • Hart, O.1
  • 13
    • 0023455980 scopus 로고
    • Optimal portfolio and consumption decisions for a "small investor" on a finite horizon
    • I. Karatzas, J. Lehoczky, S.E. Shreve, Optimal portfolio and consumption decisions for a "small investor" on a finite horizon, SIAM J. Control Opt. 25 (1987) 1557-1586.
    • (1987) SIAM J. Control Opt. , vol.25 , pp. 1557-1586
    • Karatzas, I.1    Lehoczky, J.2    Shreve, S.E.3
  • 15
    • 0000150312 scopus 로고
    • Asset prices in an exchange economy
    • R.E. Lucas, Asset prices in an exchange economy, Econometrica 46 (1978) 1429-1445.
    • (1978) Econometrica , vol.46 , pp. 1429-1445
    • Lucas, R.E.1
  • 17
    • 0000307086 scopus 로고
    • Characterisation of generically complete real asset structures
    • M. Magill, W. Shafer, Characterisation of generically complete real asset structures, J. Math. Econ. 19 (1990) 167-194.
    • (1990) J. Math. Econ. , vol.19 , pp. 167-194
    • Magill, M.1    Shafer, W.2
  • 18
    • 0002224080 scopus 로고
    • Three observations on sunspots and asset redundancy
    • P. Dasgupta, D. Gale, O. Hart, E. Maskin (Eds.), MIT Press, Cambridge, MA
    • A. Mas-Colell, Three observations on sunspots and asset redundancy, in: P. Dasgupta, D. Gale, O. Hart, E. Maskin (Eds.), Economic Analysis of Markets and Games: Essays in Honor of Frank Hahn, MIT Press, Cambridge, MA, 1992, pp. 465-474.
    • (1992) Economic Analysis of Markets and Games: Essays in Honor of Frank Hahn , pp. 465-474
    • Mas-Colell, A.1
  • 19
    • 2342552356 scopus 로고    scopus 로고
    • Asset prices and exchange rates
    • NBER Working Paper #9834
    • A. Pavlova, R. Rigobon, Asset prices and exchange rates, NBER Working Paper #9834, 2003.
    • (2003)
    • Pavlova, A.1    Rigobon, R.2
  • 20
    • 0011937407 scopus 로고    scopus 로고
    • A dynamic equilibrium model of international portfolio holdings
    • A. Serrat, A dynamic equilibrium model of international portfolio holdings, Econometrica 69 (2001) 1467-1489.
    • (2001) Econometrica , vol.69 , pp. 1467-1489
    • Serrat, A.1
  • 21
    • 0009751460 scopus 로고    scopus 로고
    • Continuous-time methods in finance: A review and an assessment
    • S.M. Sundaresan, Continuous-time methods in finance: a review and an assessment, J. Finance 55 (2000) 1569-1622.
    • (2000) J. Finance , vol.55 , pp. 1569-1622
    • Sundaresan, S.M.1
  • 22
    • 0009658568 scopus 로고
    • Equilibrium asset prices and exchange rates
    • F. Zapatero, Equilibrium asset prices and exchange rates, J. Econ. Dynam. Control 19 (1995) 787-811.
    • (1995) J. Econ. Dynam. Control , vol.19 , pp. 787-811
    • Zapatero, F.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.