General Equilibrium Foundations of Finance: Structure of Incomplete Markets Models / Edition 1

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The purpose of General Equilibrium Foundations of Finance is to give a sound economic foundation of finance based on the general equilibrium model with incomplete markets which embodies the famous CAPM as an important special case. This goal is achieved by giving reasonable restrictions on the agents' characteristics that lead to a well determined financial markets model having a unique competitive equilibrium. The innovation of this book is to transfer and to extend the theoretical results on the structure of competitive equilibria into the modern context of incomplete financial markets. General Equilibrium Foundations of Finance should be easily accessible by advanced Ph.D. students as well as by theorists of any subfield of mathematical economics. It should be interesting both for theorists who are looking for possible applications of rigorous theorizing as well as for practitioners who seek for a theoretical foundation of fruitful applications of financial markets' models.
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Product Details

  • ISBN-13: 9781402073373
  • Publisher: Springer US
  • Publication date: 1/31/2003
  • Series: Theory and Decision Library C Series, #33
  • Edition description: 2003
  • Edition number: 1
  • Pages: 299
  • Product dimensions: 0.75 (w) x 6.14 (h) x 9.21 (d)

Meet the Author

Thorsten Hens, Ph.D. University of Bonn, is professor for financial economics at the institute for empirical research in economics at the University of Zurich. He has held positions in Bielefeld, Paris and Stanford and is currently also an adjunct professor at the Finance Department of the Norwegian Business School, NHH, in Bergen. Beate Pilgrim, Ph.D. University of Bielefeld, is currently working for Reuters AG, Frankfurt.
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Table of Contents

List of Figures. Preface. Acknowledgements. Introduction. Part I: The General Equilibrium Model with Incomplete Markets. 1. The Model and Some Fundamentals. 2. Existence of Equilibria. 3. Structure of GEI-Excess Demand. 4. The Index-Theorem. 5. Uniqueness in the Arrow Debreu Model. 6. Uniqueness in the Finance GEI-Model. Part II: The Capital Asset Pricing Model. 7. The Model and Some Fundamentals. 8. Existence of Equilibria. 9. Market Demand Functions in the CAPM. 10. Uniqueness of Equilibria in the CAPM. Appendices: Mathematics. Assumptions. Main Results. Index.
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