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

Access to Document

10.1016/j.econlet.2007.03.007

Cite this

@article{0cd06e5fb6a849f89d1795797b6883da,

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",

month = dec,

doi = "10.1016/j.econlet.2007.03.007",

language = "English (US)",

volume = "97",

pages = "191--196",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier B.V.",

number = "3",

}

TY - JOUR

T1 - Multiple equilibria in a simple asset pricing model

AU - Walker, Todd B.

AU - Whiteman, Charles H.

PY - 2007/12

Y1 - 2007/12

N2 - 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.

AB - 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.

UR - https://www.scopus.com/pages/publications/34548698682

UR - https://www.scopus.com/pages/publications/34548698682#tab=citedBy

U2 - 10.1016/j.econlet.2007.03.007

DO - 10.1016/j.econlet.2007.03.007

M3 - Article

AN - SCOPUS:34548698682

SN - 0165-1765

VL - 97

SP - 191

EP - 196

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

Multiple equilibria in a simple asset pricing model

Abstract

All Science Journal Classification (ASJC) codes

Access to Document

Other files and links

Fingerprint

Cite this