Titlebook: Research in Computer Science in the Bulgarian Academy of Sciences; Krassimir T. Atanassov Book 2021 The Editor(s) (if applicable) and The

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Georgi Gluhchev,Dimo Dimov,Atanas Uzunovtral expected utility function with beliefs equal to the martingale measure generates the given asset prices. However in a single agent economy there is no trade—an obvious contradiction to what we observe. In this chapter we show that even with an arbitrary preassigned trading volume the no-arbitra

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Vassil Sgurev all, as Figure 4.1 shows, there may be a continuum of equilibria when the graph of the excess demand is flat at zero. This however is not a generic situation. On perturbing the characteristics of the economy one finds that the graph is transversal to the zero line. Hence generically equilibria are

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Dafina Zoteva,Nora Angelovathe result proved in Chapter 3 which itself was a generalization of results known in the general equilibrium literature as the Sonnenschein-Mantel-Debreu result on the structure of market excess demand functions. The result proved in this chapter for the CAPM considers the market excess demand funct

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Peter Vassilev,Lyudmila Todorova,Evgeniy Marinoving returns. In a similar vein, Bollerslev (J Financ Quant Anal, 2013) assume an affine version of the stochastic volatility model as in Heston (Rev Financ Stud, 6:327–343, 1993) and show that the variance risk premium is linearly related to the risk aversion parameter. Other investigations in this

oblique

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