Valuation and asset pricing in infinite-horizon sequential markets with portfolio constraints
Kevin Huang ()
No 2000-09, Working Papers from Utah State University, Department of Economics
We develop a theory of valuation of payoff streams in infinite-horizon sequential markets and discuss implications of this theory for equilibrium under various portfolio constraints. We study the nature of asset price bubbles in light of this theory. We show that there cannot be equilibrium price bubbles on asset in positive net supply under a transversality restriction. Our analysis extends the work by Huang and Werner  to stochastic settings with complete or incomplete markets.
Keywords: Valuation; asset price bubble; portfolio constraint (search for similar items in EconPapers)
JEL-codes: C61 D50 G10 G12 (search for similar items in EconPapers)
Pages: 29 pages
New Economics Papers: this item is included in nep-fin and nep-fmk
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ftp://repec.bus.usu.edu/RePEc/usu/pdf/ERI2000-09.pdf First version, 2000 (application/pdf)
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Working Paper: Valuation and Asset Pricing in Infinite Horizon Sequential Markets with Portfolio Constraints (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:usu:wpaper:2000-09
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