principles of financial economics leroy and werne phần 4 pptx

... consumption plans of both agents are risk free and equal to the expectations of their endowments. They are c 1 = (3 /4, 3 /4, 3 /4) and c 2 = (1 /4, 1 /4, 1 /4) . Note that no use was made of any particular ... Journal of Financial Eco- nomics, 1:225– 244 , 19 74. 163 1 64 BIBLIOGRAPHY Chapter 17 The Expectations and Pricing Kernels 17.1 Introduction In Chapter 6 we showed t...

... markets. Journal of Mathematical Economics, 19:1–38, 1990. [4] Michael Magill and Martine Quinzii. Theory of Incomplete Markets. MIT Press, 1996. [5] Roy Radner. Existence of equilibrium of plans, prices and ... Journal of Mathematical Economics, 22 :46 3 47 8, 1993. [2] J. Michael Harrison and David M. Kreps. Martingales and arbitrage in multiperiod securities markets. J...