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Dynamic Aggregation and Computation of Equilibria in Finite-Dimensional Economies with Incomplete Financial Markets *
16 references·1 citing·41 second hop
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References

  • 1998Numerical Methods in Economics2,587 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1975On the optimality of equilibrium when the market structure is incomplete746 cited
  • 1972Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets722 cited
  • 1996Theory of incomplete markets584 cited
  • 1960WELFARE ECONOMICS AND EXISTENCE OF AN EQUILIBRIUM FOR A COMPETITIVE ECONOMY573 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 1974An aggregation theorem for securities markets484 cited
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  • 1989Two-Person Dynamic Equilibrium in the Capital Market376 cited
  • 1982Intertemporal Asset Pricing with Heterogeneous Consumers and Without Demand Aggregation353 cited
  • 2005IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES351 cited

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1985
Equilibrium in incomplete markets: I
273 cited
  • 1990Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model230 cited
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    • 2005Wealth Transfers, Contagion, and Portfolio Constraints22 cited