Theory of Incomplete Markets

Michael Magill, Martine Quinzii (Autoren)

Buch | Hardcover

558 Seiten

1996
MIT Press (Verlag)
978-0-262-13324-1 (ISBN)

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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.

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.

Erscheint lt. Verlag	1.7.1996
Zusatzinfo	25
Verlagsort	Cambridge, Mass.
Sprache	englisch
Maße	181 x 260 mm
Gewicht	1225 g
Themenwelt	Wirtschaft ► Allgemeines / Lexika
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
ISBN-10	0-262-13324-5 / 0262133245
ISBN-13	978-0-262-13324-1 / 9780262133241
Zustand	Neuware