Equilibrium asset prices and no-arbitrage with portfolio constraints

• 成果类型: Article
• 署名作者: Detemple, J; Murthy, S
• 署名单位: Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; McGill University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/10.4.1133
• 发表日期: 1997
• 页码: 1133
• 关键词: Financial innovation; securities markets; consumption; economies; frictions; INFORMATION; martingales

摘要

We examine intertemporal asset pricing when short sales are constrained in proportion to the value of an investor's portfolio. All assets' prices exceed every investor's marginal utility of consumption-based valuation of the associated dividends if every investor finds himself constrained in some asset in some state; we exhibit such an equilibrium. An asset's price decomposes into three (investor-specific) components: the consumption value of its dividends, a speculative value premium, and a collateral value premium The validity of the no-arbitrage pricing approach is shown to depend critically, on the difference between real securities and their synthetic counterparts.