General Equilibrium Analysis of Financial Markets

Igor V. Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé
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Igor V. Evstigneev: University of Manchester
Thorsten Hens: University of Zurich

Chapter 19 in Mathematical Financial Economics, 2015, pp 187-195 from Springer

Abstract: Abstract The chapter focuses on a classical topic in Financial Economics: the general equilibrium analysis of financial markets. It introduces the simplest version of a two-period stochastic equilibrium model. An existence result (without proof) is given. An equilibrium pricing formula is derived in the case of von Neumann-Morgenstern utilities. The chapter concludes with an analysis of links between the no-arbitrage hypothesis and equilibrium.

Keywords: Asset Price; Equilibrium Price; Rational Expectation; Price Vector; Walrasian Equilibrium (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-319-16571-4_19

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DOI: 10.1007/978-3-319-16571-4_19

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