Two-Person Dynamic Equilibrium in the Capital Market

Détails

ID Serval
serval:BIB_520AE98FB971
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Two-Person Dynamic Equilibrium in the Capital Market
Périodique
Review of Financial Studies
Auteur(s)
Dumas  B.
Statut éditorial
Publié
Date de publication
1989
Volume
2
Numéro
2
Pages
157-188
Résumé
When several investors with different risk aversions trade competitively in a capital market, the allocation of wealth fluctuates randomly among them and acts as a state variable against which each market participant will want to hedge. This hedging motive complicates the investors' portfolio choice and the equilibrium in the capital market. This article features two investors, with the same degree of impatience, one of them being logarithmic and the other having an isoelastic utility function. They face one risky constant- return-to-scale stationary production opportunity and they can borrow and lend to and from each other. The behaviors of the allocation of wealth and of the aggregate capital stock are characterized, along with the behavior of the rate of interest, the security market line, and the portfolio holdings.
Création de la notice
19/11/2007 11:26
Dernière modification de la notice
03/03/2018 17:12
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