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- Darrell Duffie, Stephen Buser, +23 authors Haoxiang Zhu
- 2010

I describe asset price dynamics caused by the slow movement of investment capital to trading opportunities. The pattern of price responses to supply or demand shocks typically involves a sharp reaction to the shock and a subsequent and more extended reversal. The amplitude of the immediate price impact and the pattern of the subsequent recovery can reflect… (More)

We study the existence of equilibria with endogenously complete markets in a continuous-time, heterogenous agents economy driven by a multi-dimensional diffusion process. Our main results show that if prices are real analytic as functions of time and the state variables of the model then a sufficient condition for market completeness is that the volatility… (More)

We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to innity or to one. The convergence of the optimal consumption is obtained for general semimartingale models while the convergence of the optimal trading strategy is obtained for continuous models. The… (More)

It may be downloaded, printed and reproduced only for personal or classroom use. Absolutely no downloading or copying may be done for, or on behalf of, any for‐profit commercial firm or other commercial purpose without the explicit permission of the Econometric Society. For this purpose, contact Claire Sashi, General Manager, at… (More)

- S. M. MALAMUD
- 2005

We establish an analog of the Cauchy-Poincare interlacing theorem for normal matrices in terms of majorization, and we provide a solution to the corresponding inverse spectral problem. Using this solution we generalize and extend the Gauss–Lucas theorem and prove the old conjecture of de Bruijn-Springer on the location of the roots of a complex polynomial… (More)

We prove that for any incomplete market and any concave utility function the marginal propensities to consume and to save are always positive. Furthermore, we introduce a class of incomplete markets that includes almost all well known examples of market incompleteness in finance and macroeconomics. Two concrete examples are idiosyncratic income shocks and… (More)

- Vincent Glode, Christian Opp, +15 authors Brian Weller
- 2013

We propose a parsimonious model of over-the-counter trading with asymmetric information to rationalize the existence of intermediation chains that stand between buyers and sellers of assets. Trading an asset through several heterogeneously informed intermediaries can preserve the efficiency of trade by reallocating an information asymmetry over many… (More)

We establish an analog of the Cauchy-Poincare separation theorem for normal matrices in terms of majorization. Moreover , we present a solution to the inverse spectral problem (Borg-type result). Using this result we essentially generalize and extend the known Gauss–Lucas theorem about the location of the roots of a complex polynomial and of its derivative.… (More)

We study utility indifference pricing of claim streams with in-tertemporal consumption and power (CRRA) utilities. We derive explicit formulas for the derivatives of the utility indifference price with respect to claims and wealth. The simple structure of these formulas is a reflection of surprising operator identities for the derivatives of the optimal… (More)

- Harjoat S. Bhamra, Raman Uppal, +15 authors Hongjun Yan
- 2009

In this paper, we study asset prices in a dynamic, continuous-time, general-equilibrium endowment economy where agents have power utility and differ with respect to both beliefs and their preference parameters for time discount and risk aversion. We solve in closed form for the following quantities: optimal consumption and portfolio policies of individual… (More)