Market imperfections in general equilibrium models with uncertainty:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
1997
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 143 S. |
Internformat
MARC
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| 245 | 1 | 0 | |a Market imperfections in general equilibrium models with uncertainty |c von Marta Laitenberger |
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| 502 | |a Bonn, Univ., Diss., 1997 | ||
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Datensatz im Suchindex
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| adam_text | Contents
I Introduction 9
II The GEI Model 17
1 Exchange Economies under Uncertainty 19
1.1 The Basic Setting 19
1.2 Assumptions 20
1.3 The Individual Maximization Problem 21
1.4 Financial Market Equilibrium 22
1.5 The No Arbitrage Condition 23
1.6 No Arbitrage Equilibrium 24
2 Some Results in the GEI Model 27
2.1 Generic Existence of Equilibria with Real Assets 27
2.1.1 The Existence Problem 27
2.1.2 Existence with Generically Complete Markets ... 28
2.1.3 Existence with Incomplete Markets 29
2.2 The Linear Pricing Rule: no Role for Intermediation ... 31
2.3 The CAPM as a GEI Model 34
2.3.1 The GEI Model as an Asset Pricing Model 35
2.3.2 Some Results in the CAPM 38
5
6 CONTENTS
III GEI Models with Transaction costs 41
3 Existence of Equilibria with Real Assets 43
3.1 Introduction 43
3.2 Existence of FM Equilibria with Real Transaction Costs . 44
3.3 Existence of FM Equilibria with Intermediation Costs ... 47
3.4 Conclusion 49
4 On Choquet Pricing with Intermediation Costs 51
4.1 Introduction 51
4.2 The Model 52
4.3 Choquet Prices 54
4.4 Conclusion 62
5 CAPM Economies: Pricing, the Mutual Fund Theorem
and Intermediation 65
5.1 Introduction 65
5.2 The Case of Spanned Endowments 68
5.3 The Case of Non Spanned Endowments 72
5.4 Distribution Economies 73
5.5 Distribution Economies with Transaction Costs 75
5.5.1 The Case of Small Transaction Costs 76
5.5.2 Introduction of a Redundant Asset 77
5.5.3 Introduction of a Linearly Dependent Asset with Mar¬
ket Frictions 78
5.5.4 The Case of Large Transaction Costs 83
5.6 Exchange Economies with Transaction Costs 85
5.7 CAPM Economies with Heterogeneous Expectations .... 86
5.7.1 Introduction 86
5.7.2 Exchange Economies with Heterogeneous Beliefs . . 87
5.7.3 Asset Demand with Transaction Costs 89
5.8 Conclusion 9
CONTENTS 7
IV Economies with Costly and Asymmetric Infor¬
mation 93
6 Rational Expectations and the Information Revealed by
Prices 95
6.1 Introduction 95
6.2 GEI Models with Asymmetric Information 96
6.2.1 The Case of Real Assets 96
6.2.2 Security Design 99
6.2.3 REE and Common Knowledge 101
6.3 Costly Acquisition of Information on Financial Markets . . 102
6.3.1 Introduction 102
6.3.2 The Problem of Existence of REE 103
6.3.3 Noisy Rational Expectations Economies 103
6.3.4 Direct and Indirect Sale of Information 104
6.4 Conclusion 105
7 Costly Acquisition of Information with Incomplete Mar¬
kets 107
7.1 Introduction 107
7.2 Existence of Full Information Equilibria 110
7.2.1 The Model 110
7.2.2 Asset Prices and Demand for Information 119
7.3 The Creation of a Mutual Fund 125
7.3.1 The Modified Model 125
7.3.2 Introducing an Intermediary to solve the Information
Problem 129
7.4 Conclusion 134
V References 135
|
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| illustrated | Not Illustrated |
| indexdate | 2024-07-09T18:14:48Z |
| institution | BVB |
| language | English |
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| physical | 143 S. |
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| spelling | Laitenberger, Marta 1967- Verfasser (DE-588)118112538 aut Market imperfections in general equilibrium models with uncertainty von Marta Laitenberger 1997 143 S. txt rdacontent n rdamedia nc rdacarrier Bonn, Univ., Diss., 1997 Unvollkommener Markt (DE-588)4062060-8 gnd rswk-swf Unsicherheit (DE-588)4186957-6 gnd rswk-swf Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 s Unsicherheit (DE-588)4186957-6 s Unvollkommener Markt (DE-588)4062060-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007912921&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Laitenberger, Marta 1967- Market imperfections in general equilibrium models with uncertainty Unvollkommener Markt (DE-588)4062060-8 gnd Unsicherheit (DE-588)4186957-6 gnd Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 gnd |
| subject_GND | (DE-588)4062060-8 (DE-588)4186957-6 (DE-588)4210294-7 (DE-588)4113937-9 |
| title | Market imperfections in general equilibrium models with uncertainty |
| title_auth | Market imperfections in general equilibrium models with uncertainty |
| title_exact_search | Market imperfections in general equilibrium models with uncertainty |
| title_full | Market imperfections in general equilibrium models with uncertainty von Marta Laitenberger |
| title_fullStr | Market imperfections in general equilibrium models with uncertainty von Marta Laitenberger |
| title_full_unstemmed | Market imperfections in general equilibrium models with uncertainty von Marta Laitenberger |
| title_short | Market imperfections in general equilibrium models with uncertainty |
| title_sort | market imperfections in general equilibrium models with uncertainty |
| topic | Unvollkommener Markt (DE-588)4062060-8 gnd Unsicherheit (DE-588)4186957-6 gnd Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 gnd |
| topic_facet | Unvollkommener Markt Unsicherheit Allgemeines Gleichgewichtsmodell Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007912921&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT laitenbergermarta marketimperfectionsingeneralequilibriummodelswithuncertainty |