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Theory of incomplete markets / 1.

Author: Michael Magill
Publisher: Camebridge, Mass. : MIT Press, 1996.
Edition/Format:   Print book : EnglishView all editions and formats

This text presents a framework for analyzing the financial and monetary sectors of an economy. It describes a theory that claims a lack of knowledge on behalf of the trader results in sequential  Read more...


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Document Type: Book
All Authors / Contributors: Michael Magill
ISBN: 0262133245 9780262133241
OCLC Number: 174359950
Description: XVII, 540 Seiten : Diagramme
Contents: Part 1 Introduction: main themes; bounded rationality, opportunism and structure of markets; rational expectations; the equilibrium model; real and financial sectors of the economy. Part 2 Two-period finance economy - motivation and summary: characteristics of the finance economy; contingent market equilibrium; financial market equilibrium; absence of arbitrage; no-arbitrage equilibrium; a basic property of incomplete markets; constrained pareto optimality; abstract approach - adjoint equations. Part 3 Two-period security pricing - motivation and summary: inner product, differential and gradient; valuation of income streams; representative agent analysis; capital asset pricing model (CAPM). Part 4 Stochastic financial economy - motivation and summary: event-tree commodity space; stochastic exchange economy; stochastic financial markets; absence of arbitrage; complete and incomplete markets; no-arbitrage equilibrium; example of non-existence; existence and optimality. Part 5 Information efficiency of security prices - motivation and summary: conditional expectation and martingale; efficient markets under risk neutrality; efficient markets with risk aversion. Part 6 Production in a finance economy - motivation and summary: characteristics of production economy; sole proprietorships; partnerships; corporations. Part 7 Monetary economy - motivation and summary: real and nominal contracts; monetary equilibrium; non-neutrality of monetary policy; optimal monetary policy; indexing contracts.
Responsibility: Michael Magill ; Martine Quinzii.


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"Magill and Quinzii have carefully and cogently summarized a large body of recent research on general equilibrium models of incomplete security markets. In its treatment of everything from the basic Read more...

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