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|a (JST)40056486
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|a DE-627
|b ger
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|e rakwb
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|a eng
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|a Anderson, Robert M.
|e verfasserin
|4 aut
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|a Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets
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|c 2008
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|a Text
|b txt
|2 rdacontent
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|a We prove existence of equilibrium in a continuous-time securities market in which the securities are potentially dynamically complete: the number of securities is at least one more than the number of independent sources of uncertainty. We prove that dynamic completeness of the candidate equilibrium price process follows from mild exogenous assumptions on the economic primitives of the model. Our result is universal, rather than generic: dynamic completeness of the candidate equilibrium price process and existence of equilibrium follow from the way information is revealed in a Brownian filtration, and from a mild exogenous nondegeneracy condition on the terminal security dividends. The nondegeneracy condition, which requires that finding one point at which a determinant of a Jacobian matrix of dividends is nonzero, is very easy to check. We find that the equilibrium prices, consumptions, and trading strategies are well-behaved functions of the stochastic process describing the evolution of information. We prove that equilibria of discrete approximations converge to equilibria of the continuous-time economy.
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|a Copyright 2008 The Econometric Society
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|a Dynamic completeness
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|a convergence of discrete-time finance models
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|a continuous-time finance
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|a general equilibrium theory
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|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial instruments
|x Financial securities
|x Securities management
|x Securities sales
|x Security prices
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|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial investments
|x Investment returns
|x Dividends
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|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial instruments
|x Financial securities
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650 |
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|a Physical sciences
|x Physics
|x Mechanics
|x Fluid mechanics
|x Brownian motion
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650 |
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4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Financial markets
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650 |
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|a Economics
|x Macroeconomics
|x Aggregate economy
|x Market economics
|x Market equilibrium
|x Equilibrium prices
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650 |
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4 |
|a Mathematics
|x Mathematical expressions
|x Mathematical functions
|x Analytic functions
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650 |
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4 |
|a Economics
|x Economic disciplines
|x Applied economics
|x Economic modeling
|x Economic models
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650 |
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|a Mathematics
|x Applied mathematics
|x Statistics
|x Random walk
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|a Economics
|x Macroeconomics
|x Aggregate economy
|x Market economics
|x Market equilibrium
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|a research-article
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|a Raimondo, Roberto C.
|e verfasserin
|4 aut
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|i Enthalten in
|t Econometrica
|d Wiley
|g 76(2008), 4, Seite 841-907
|w (DE-627)270425721
|w (DE-600)1477253-X
|x 14680262
|7 nnns
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1 |
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|g volume:76
|g year:2008
|g number:4
|g pages:841-907
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|u https://www.jstor.org/stable/40056486
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|d 76
|j 2008
|e 4
|h 841-907
|