Theory of incomplete markets
著者
書誌事項
Theory of incomplete markets
MIT Press, c1996
- v. 1 : hc
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注記
Bibliography: p. 491-516
Includes index
内容説明・目次
内容説明
This text presents a framework for analyzing the financial and monetary sectors of an economy. It describes a theory that claims a lack of knowledge on behalf of the trader results in sequential trading, which limits commitments into the future - and considers the implications of such trading.
目次
- Part 1 Introduction: main themes
- bounded rationality, opportunism and structure of markets
- rational expectations
- the equilibrium model
- real and financial sectors of the economy. Part 2 Two-period finance economy - motivation and summary: characteristics of the finance economy
- contingent market equilibrium
- financial market equilibrium
- absence of arbitrage
- no-arbitrage equilibrium
- a basic property of incomplete markets
- constrained pareto optimality
- abstract approach - adjoint equations. Part 3 Two-period security pricing - motivation and summary: inner product, differential and gradient
- valuation of income streams
- representative agent analysis
- capital asset pricing model (CAPM). Part 4 Stochastic financial economy - motivation and summary: event-tree commodity space
- stochastic exchange economy
- stochastic financial markets
- absence of arbitrage
- complete and incomplete markets
- no-arbitrage equilibrium
- example of non-existence
- existence and optimality. Part 5 Information efficiency of security prices - motivation and summary: conditional expectation and martingale
- efficient markets under risk neutrality
- efficient markets with risk aversion. Part 6 Production in a finance economy - motivation and summary: characteristics of production economy
- sole proprietorships
- partnerships
- corporations. Part 7 Monetary economy - motivation and summary: real and nominal contracts
- monetary equilibrium
- non-neutrality of monetary policy
- optimal monetary policy
- indexing contracts.
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