Multiple equilibria in a simple asset pricing model

被引：5
|
作者：
Walker, Todd B.
Whiteman, Charles H.
机构：
[1] Indiana Univ, Dept Econ, Bloomington, IN 47405 USA
[2] Univ Iowa, Dept Econ, Iowa City, IA 52242 USA
来源：
ECONOMICS LETTERS | 2007年 / 97卷 / 03期
关键词：
exponential utility; multiple equilibria;
D O I：
10.1016/j.econlet.2007.03.007
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Multiple stationary equilibria are often encountered in standard asset pricing models when one assumes negative-exponential utility with Gaussian uncertainty. This paper demonstrates that there are exactly two stationary equilibria, which are due solely to the presence of nonlinearities. (c) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码：191 / 196
页数：6
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