General equilibrium foundations of finance
structure of incomplete markets models
- ISBN: 9781402073373
- Editorial: KLUWER ACADEMIC PUBLISHERS
- Fecha de la edición: 2003
- Lugar de la edición: Dordrecht. None
- Colección: Theory and Decision Library. Series C:Game theory, mathematical programming and operations research
- Encuadernación: Cartoné
- Medidas: 23 cm
- Nº Pág.: 299
- Idiomas: Inglés
The purpose of this text is to give a sound economic foundation of finance based on the general equilibrium model with incomplete markets which embodies the famous CAPM as an important special case. This goal is achieved by giving reasonable restrictions on the agents' characteristics that lead to a well determined financial markets model having a unique competitive equilibrium. The innovation of this book is to transfer and to extend the theoretical results on the structure of competitive equilibria into the modern context of incomplete financial markets. The book should be easily accessible by advanced PhD students as well as by theorists of any subfield of mathematical economics. It should be interesting both for theorists who are looking for possible applications of rigorous theorizing as well as for practitioners who seek for a theoretical foundation of fruitful applications of financial markets' models
