Risk-neutral economy and zero price of risk

被引：0
|
作者：
Oldrich Alfons Vasicek
机构：
来源：
Mathematics and Financial Economics | 2014年 / 8卷
关键词：
Risk-neutrality; Market price of risk; General equilibrium; Exchange and production economies; Determination of interest rates; Term structure of interest rates; D51; D53; E43;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The paper investigates the equilibrium in an economy in which all participants are indifferent to risk. The mechanism of asset and derivative pricing in such economy is identified. It is shown that no economy in equilibrium with stochastic interest rates can be simultaneously risk-neutral and have zero market price of risk. On the other hand, there exist equilibrium economies with risk-averse participants and zero prices of risk.
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页码：229 / 239
页数：10
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