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Incomplete Markets and Volatility
Journal of Economic Theory, 1998This paper shows that the precautionary motive, combined with asset incompleteness, is a major source of volatility and indeterminacy in financial markets. Price fluctuations originate from agents' efforts to insure themselves through time by borrowing and lending instead of shifting income across states of nature by trading in risky assets.
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MARKET RESOLUTION AND VALUATION IN INCOMPLETE MARKETS
Financial Review, 1982The Arrow-Debreu approach to general equilibrium in an economy has been recognized as one of the most general and conceptually elegant frameworks for the study of financial problems under uncertainty [2], [9]. Equally well known is its elusiveness when it comes to ready application to practical problems (like capital budgeting) or empirical testing ...
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Bubbles and trading in incomplete markets
Journal of Mathematical Economics, 2013zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Camelia Bejan, Florin Bidian
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Optimal Insurance in Incomplete Markets
Journal of Political Economy, 1983This paper examines the theory of optimal insurance purchasing in the presence of uninsurable background risk. Existing theorems concerning the optimal level of insurance and the optimal form of an insurance contract are shown to hold only under restricted market and risk assumptions.
Doherty, Neil A, Schlesinger, Harris
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ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
International Journal of Theoretical and Applied Finance, 2001This paper is an extension of [13] where we have studied a financial market with informed and non-informed agents. The informed agent has an initial insider information. We analyze the completeness of the market and the family of risk-neutral probabilities. Some cases of arbitrage opportunities are done.
Grorud, Axel, Pontier, Monique
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Pooling and endogenous market incompleteness
Economic Theory, 2004zbMATH Open Web Interface contents unavailable due to conflicting licenses.
A. CITANNA, VILLANACCI, ANTONIO
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Investment and Financing in Incomplete Markets
Economic Theory, 2018I propose a model of production with incomplete financial markets, in which a firm can act as a financial innovator by issuing claims against its stock. In this environment, market value maximization may be against the firm’s shareholders’ interests. I propose instead a new measure of adjusted value, which is the sum between the market value and the ...
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Flexible Planning in an Incomplete Market
2008In many cases, the financial situation of start-up companies only allows equity financing of growth investments. Every increase in capital needs a post-money valuation of the firm. Therefore, it is important to have appropriate methods to evaluate these companies.
Peter Reichling +2 more
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Semimartingales and Hedging in Incomplete Markets
Theory of Probability & Its Applications, 1993See the review in Zbl 0753.60041.
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, 1987