Introduction to Systems of Financial Markets

Marcelo Bianconi

Chapter 4 in Financial Economics, Risk and Information:An Introduction to Methods and Models, 2003, pp 169-211 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionPricing Securities in a Linear FashionOptimal Portfolio Choice ProblemsPricing the States of NatureMarket Regimes: Complete versus IncompleteOptimal Portfolio Choice and the Price of Elementary Securities (State Prices)Individual Optimal Allocation under Complete Markets Regime: An ExampleGeneral Equilibrium under Complete Markets Regime: Full Risk SharingGeneral Equilibrium under Incomplete Markets RegimeA Simple Geometrical Illustration of Market RegimesApplication to the Neoclassical Theory of the FirmSummaryQuestions and ProblemsNotes on the LiteratureReferences

Keywords: Risk and Information; Systems of Financial Markets; Contracts and Asymmetric Information; General Equilibrium Under Uncertainty; Non-Convexities; Portfolio Choice and Asset Pricing (search for similar items in EconPapers)
Date: 2003
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