A Simple Equilibrium Model
Tomas Bjork,
Mariana Khapko () and
Agatha Murgoci ()
Additional contact information
Mariana Khapko: University of Toronto
Agatha Murgoci: Ørsted
Chapter Chapter 4 in Time-Inconsistent Control Theory with Finance Applications, 2021, pp 27-38 from Springer
Abstract:
Abstract In this chapter we study a time-consistent equilibrium model, namely a discrete-time simplified version of the Cox–Ingersoll–Ross continuous-time model. We start by analyzing a consumption–investment problem in which the agent considers all prices as exogenously given. We then move to the equilibrium framework, in which the short rate, the stochastic discount factor, and the martingale measure are determined endogenously in equilibrium. In Chap. 10 we will study a time-inconsistent version of this standard problem, and it will be instructive to compare the results.
Date: 2021
References: Add references at CitEc
Citations:
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
Chapter: A Simple Equilibrium Model (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-030-81843-2_4
Ordering information: This item can be ordered from
http://www.springer.com/9783030818432
DOI: 10.1007/978-3-030-81843-2_4
Access Statistics for this chapter
More chapters in Springer Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().