Multiple equilibria in a simple asset pricing model

Todd B. Walker; Charles H. Whiteman

doi:10.1016/j.econlet.2007.03.007

Multiple equilibria in a simple asset pricing model

Todd B. Walker, Charles H. Whiteman

Smeal College of Business

Research output: Contribution to journal › Article › peer-review

5 Scopus citations

Abstract

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.

Original language	English (US)
Pages (from-to)	191-196
Number of pages	6
Journal	Economics Letters
Volume	97
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2007.03.007
State	Published - Dec 2007

All Science Journal Classification (ASJC) codes

Economics and Econometrics
Finance

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10.1016/j.econlet.2007.03.007

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title = "Multiple equilibria in a simple asset pricing model",

abstract = "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.",

author = "Walker, {Todd B.} and Whiteman, {Charles H.}",

year = "2007",

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AU - Whiteman, Charles H.

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VL - 97

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JO - Economics Letters

JF - Economics Letters

IS - 3

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Multiple equilibria in a simple asset pricing model

Abstract

All Science Journal Classification (ASJC) codes

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