| bibtype |
J -
Journal Article
|
| ARLID |
0410662 |
| utime |
20240103182230.0 |
| mtime |
20060210235959.9 |
| title
(primary) (eng) |
Equillibrium asset prices in a continuous time portfolio optimization model with decentralized dealership markets |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0293025 |
| ISSN |
1212-074X |
| title
|
Bulletin of the Czech Econometric Society |
| volume_id |
7 |
| volume |
13 (2001) |
| page_num |
43-72 |
|
| keyword |
dealership market |
| keyword |
continuous-time optimization |
| keyword |
asset price |
| author
(primary) |
| ARLID |
cav_un_auth*0101079 |
| name1 |
Derviz |
| name2 |
Alexis |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| COSATI |
05D |
| COSATI |
12B |
| cas_special |
| research |
AV0Z1075907 |
| abstract
(eng) |
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. |
| RIV |
AH |
| department |
E |
| permalink |
http://hdl.handle.net/11104/0130750 |
| ID_orig |
UTIA-B 20010131 |
| arlyear |
2001 |
| mrcbU63 |
cav_un_epca*0293025 Bulletin of the Czech Econometric Society 1212-074X Roč. 7 č. 13 2001 43 72 |
|