理性资产定价泡沫与投资组合约束

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE

European Journal of Finance Pub Date : 2010-04-16 DOI:10.2139/ssrn.1288380

J. Hugonnier

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引用次数: 68

摘要

本文表明，即使经济中存在可以从有限套利机会中获益的不受约束的主体，投资组合约束也会在均衡状态下产生理性的资产定价泡沫。进一步证明了气泡可以导致平衡的多重性和实际不确定性。一般结果通过两个显式解决的例子来说明，其中看似无害的投资组合约束使泡沫成为存在均衡的必要条件。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Rational asset pricing bubbles and portfolio constraints

This article shows that portfolio constraints can give rise to rational asset pricing bubbles in equilibrium even if there are unconstrained agents in the economy who can benefit from the induced limited arbitrage opportunities. Furthermore, it is shown that bubbles can lead to both multiplicity and real indeterminacy of equilibria. The general results are illustrated by two explicitly solved examples where seemingly innocuous portfolio constraints make bubbles a necessary condition for the existence of an equilibrium.

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来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.