principles of financial economics leroy and werne phần 6 doc

... (21. 16) Eq. 21. 16 says that the price of security j in event ξtequals the sum over immediate successorevents ξt+1 of cum-dividend payoffs of security j multiplied by the marginal rate of substitutionbetween ... dimension, inducing discontinuity of agents’ portfolio and consumption demands. For an example of nonexistence of an equilibrium in multidate securitymarkets see Magill and Quinzii [4]. The nonexistence ... theory. Journal of Mathematical Economics, 22: 463 –478, 1993.[2] J. Michael Harrison and David M. Kreps. Martingales and arbitrage in multiperiod securitiesmarkets. Journal of Economic Theory,...

... measure of risk (see Chapter10), the analysis of expected returns and variances of returns plays an important role in the theory and applications of finance. It leads to identification of returns ... Pareto optimal (Theorem 16. 4.1 and Proposition 16. 3.2) and hence risk free. Further, interior equilibrium allocations are the same as with complete markets(Theorems 16. 4.2 and 16. 4.3). In an interior ... Journal of Financial Eco-nomics, 1:225–244, 1974. 163 164 BIBLIOGRAPHYChapter 17The Expectations and Pricing Kernels17.1 IntroductionIn Chapter 6 we showed that the payoff pricing functional—and...