Equillibrium asset prices in a continuous time portfolio optimization model with decentralized dealership markets

0410662 - UTIA-B 20010131 RIV CZ eng J - Článek v odborném periodiku
Derviz, Alexis
Equillibrium asset prices in a continuous time portfolio optimization model with decentralized dealership markets.
Bulletin of the Czech Econometric Society. Roč. 7, č. 13 (2001), s. 43-72. ISSN 1212-074X
Výzkumný záměr: AV0Z1075907
Klíčová slova: dealership market * continuous-time optimization * asset price
Kód oboru RIV: AH - Ekonomie

The paper defines a model of asset prices in an economy with decentralized dealership markets for every traded security. The economy is analyzed in continuous time with diffusion uncertainty, and the dealers solve investment and active trade optimization problems with the help of the stochastic maximum principle. The result is a generalized "dealer consumption-based" Capital Asset Pricing Model.
Trvalý link: http://hdl.handle.net/11104/0130750