Font Size: a A A

Essays in incomplete markets theory

Posted on:2003-09-11Degree:Ph.DType:Dissertation
University:University of California, BerkeleyCandidate:Raimondo, RobertoFull Text:PDF
GTID:1469390011484331Subject:Economics
Abstract/Summary:
My dissertation contributes to the Theory of Incomplete markets with Continuum of States. I prove that there exists an equilibrium when there are more then two trading dates and, at each period, there are uncountable states of nature. In the second Chapter I prove that the geometric Brownian motion assumption is not consistent with market clearing unless the agent has CRRA utility function. This implies that many models used in Finance are internally inconsistent.
Keywords/Search Tags:Incomplete markets
Related items