scholarly journals Asymptotic Methods for Asset Market Equilibrium Analysis

10.3386/w8135 ◽  
2001 ◽  
Author(s):  
Kenneth Judd ◽  
Sy-Ming Guu
Keyword(s):  
Asymptotic Methods ◽  
Market Equilibrium ◽  
Equilibrium Analysis ◽  
Asset Market

scholarly journals Asymptotic methods for asset market equilibrium analysis

2001 ◽  
Vol 18 (1) ◽  
pp. 127-157 ◽  
Author(s):  
Kenneth L. Judd ◽  
Sy-Ming Guu
Keyword(s):  
Asymptotic Methods ◽  
Market Equilibrium ◽  
Equilibrium Analysis ◽  
Asset Market

Asset Market Equilibrium with Short-Selling

1989 ◽  
Vol 56 (3) ◽  
pp. 467 ◽  
Author(s):  
Lars Tyge Nielsen
Keyword(s):  
Market Equilibrium ◽  
Short Selling ◽  
Asset Market

EXISTENCE, UNIQUENESS, AND DETERMINACY OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN ASSET MARKETS WITH GENERAL UTILITY FUNCTIONS AND AN ELLIPTICAL DISTRIBUTION

2004 ◽  
Vol 21 (03) ◽  
pp. 393-405
Author(s):  
ZHIPING CHEN
Keyword(s):  
Equilibrium Price ◽  
Utility Functions ◽  
Equilibrium Analysis ◽  
Asset Market ◽  
Maximization Problem ◽  
Sufficient Condition ◽  
Elliptical Distribution ◽  
Necessary And Sufficient Condition ◽  
Price Vector ◽  
Necessary And Sufficient

For the asset market with finite numbers of investors whose utility functions are general concave functions, we derive a necessary and sufficient condition for the existence and uniqueness of the nonnegative equilibrium price vector that clears the asset market, through considering the expected utility maximization problem under the assumption that the joint distribution of risky assets' returns is an elliptical distribution. An explicit formula for the equilibrium price is given. We also discuss the economic implication of the given condition and demonstrate that our necessary and sufficient condition can be regarded as a necessary condition to maintain the stability of the asset market. These results extend some results about the equilibrium analysis of the asset market.

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