0410662 20240103182230.020060210235959.9 Equillibrium asset prices in a continuous time portfolio optimization model with decentralized dealership markets 30 s. cav_un_epca*02930251212-074XBulletin of the Czech Econometric Society713 (2001)43-72 dealership market continuous-time optimization asset price cav_un_auth*0101079 Derviz Alexis UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. 05D 12B AV0Z1075907 The paper defines a model of asset prices in an economy with decentralized dealership markets for every traded security. The economy is analyzed in continuous time with diffusion uncertainty, and the dealers solve investment and active trade optimization problems with the help of the stochastic maximum principle. The result is a generalized "dealer consumption-based" Capital Asset Pricing Model. AH E http://hdl.handle.net/11104/0130750 UTIA-B 20010131 2001 cav_un_epca*0293025 Bulletin of the Czech Econometric Society 1212-074X Roč. 7 č. 13 2001 43 72