5 research outputs found
Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment
In a recent paper, Judd et al. [2003. Journal of Finance 58, 2203-2217] study asset trading in a version of the standard Lucas infinite horizon economy with heterogeneous agents. They report the surprising finding that (for generic economies in their class), in equilibrium, there is no trade in (long-lived) assets after the initial date. This note points out that the conclusions of Judd et al. [2003. Journal of Finance 58, 2203-2217] are artifacts of the assumption that asset dividends and individual endowments follow the same stationary finite state Markov process. Without this assumption-and even if asset dividends and aggregate endowments follow the same stationary process-there will necessarily be trade at many histories. © 2006 Elsevier Inc. All rights reserved
On the impossibility of representing infinite utility streams
Social welfare function, Intergenerational equity, Pareto axiom, Overtaking criterion, D63, D71, D90,
Behavioral arbitrage with collateral and uncertain deliveries
Collateral, Utility penalties, Behavioral arbitrage, Uncertain deliveries, D52, G11, G12,
Conditional ordering extensions
Conditional ordering extension, Szpilrajn’s theorem, Infinite utility stream, C60, D90, D63,