WEKO3
アイテム
Implementing Arrow-Debreu Equilibria in Security Markets with Infinite Dimensional Martingale Generator
http://hdl.handle.net/10441/288
http://hdl.handle.net/10441/288bd4478fb-c328-4834-bae3-89554242081f
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
B1Kusuda200409.pdf (262.6 kB)
|
|
| Item type | テクニカルレポート / Technical Report(1) | |||||||
|---|---|---|---|---|---|---|---|---|
| 公開日 | 2009-03-26 | |||||||
| タイトル | ||||||||
| タイトル | Implementing Arrow-Debreu Equilibria in Security Markets with Infinite Dimensional Martingale Generator | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Approximately complete markets | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Approximate security market equilibrium | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Arrow-Debreu equilibrium | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Infinite dimensional martingale generator | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Jump-diffusion | |||||||
| 資源タイプ | ||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||
| 資源タイプ | technical report | |||||||
| 著者 |
Kusuda, Koji
× Kusuda, Koji
|
|||||||
| 著者(ヨミ) | ||||||||
| 姓名 | クスダ, コウジ | |||||||
| 著者別名 | ||||||||
| 姓名 | 楠田, 浩二 | |||||||
| 抄録 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | This paper presents that Arrow-Debreu equilibria in continuous-time market economy with jump-diffusion information generated by infinite dimensional martingale generator can be implemented in approximately complete security markets (Bj¨ork et al. [10]) in which every bond with any maturity date is traded and any contingent claim is approximately replicated with any given precision. A generalized security market equilibrium called approximate security market equilibrium is introduced in which each agent is allowed to choose a consumption plan approximately financed with any prescribed precision. It is shown that an Arrow-Debreu equilibrium in the economy can be identified with an approximate security market equilibrium in the approximately complete markets. |
|||||||
| 引用 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | CRR Working Paper, Series B, No. B-1, pp. 1-16 | |||||||
| 書誌情報 |
CRR Working Paper, Series B 号 B-1, p. 1-16, 発行日 2004-09 |
|||||||
| 出版者 | ||||||||
| 出版者 | Center for Risk Research (CRR), Shiga University | |||||||
| 資源タイプ | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | Technical Report | |||||||
