Now showing items 1-10 of 671
Long-lived Collateralized Assets and Bubbles
(Universidad de Chile, Facultad de Economía y Negocios, 2008)
When infinite-lived agents trade long-lived assets secured by durable goods, equilibrium exists without any additional debt constraints or uniform impatience conditions on agents' characteristics. Also, regardless of ...
Long-lived collateralized assets and bubbles
(Elsevier Science Sa, 2011-05)
When infinite-lived agents trade long-lived assets secured by durable goods, equilibrium exists without any additional debt constraints or uniform impatience conditions on agents' characteristics. Also, price bubbles are ...
Asset prices and wealth inequality in a simple model with idiosyncratic shocks
(Universidad de Chile. Facultad de Economía y Negocios, 2017)
This paper analytically solves a heterogeneous agent model with idiosyncratic shocks to marginal utility of consumption and explores the effects of the borrowing constraint on the price of the asset, the composition of ...
Testing the Capital Asset Pricing Model using the Kalman Filter: Empirical Evidence from the Mexican Stock Market
(Universidad de Guadalajara, 2018-03)
The capital asset pricing theory and its misconceptions
The CAPM is the fundamental model for pricing financial securities. Nevertheless, the way it is proved in Finance textbooks can be fairly confusing, and more complicated than necessary; with an excessive use of figures at ...
On equilibrium prices in continuous time
(Escola de Pós-Graduação em Economia da FGV, 2008-02-28)
We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.
STABILITY ANALYSIS WITH APPLICATIONS OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM ARISING FROM A STOCHASTIC MODEL FOR AN ASSET MARKET
(WORLD SCIENTIFIC PUBL CO PTE LTD, 2011)
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. ...