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http://hdl.handle.net/10419/31191
  

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dc.contributor.authorCitanna, Alessandroen_US
dc.contributor.authorSchmedders, Karlen_US
dc.date.accessioned2010-05-14T10:18:29Z-
dc.date.available2010-05-14T10:18:29Z-
dc.date.issued2002en_US
dc.identifier.urihttp://hdl.handle.net/10419/31191-
dc.description.abstractIn a three-period finite competitive exchange economy with incomplete financial markets and retrading, we study the possibility of controlling asset price volatility through financial innovation. We first give sufficient conditions on preferences and endowments implying that whatever is the innovation which completes markets, it also reduces volatility, typically in this class of economies. We also numerically examine some interesting examples. Then we show the generic existence, even outside this class, of financial innovation which decreases equilibrium price volatility. The existence is obtained under conditions of sufficient market incompleteness. The financial innovation may consist of an asset which is only traded at time zero, or retraded, and with payoffs only at the terminal date. The existence is shown to be robust in the asset payoff space.-
dc.language.isoengen_US
dc.publisherNorthwestern Univ., Kellogg Graduate School of Management, Center for Mathematical Studies in Economics and Management Science Evanstonen_US
dc.relation.ispartofseriesDiscussion paper // Center for Mathematical Studies in Economics and Management Science 1338en_US
dc.subject.jelC60en_US
dc.subject.jelD52en_US
dc.subject.jelG10en_US
dc.subject.ddc330en_US
dc.subject.keywordincomplete markets-
dc.subject.keywordfinancial innovation-
dc.subject.keywordvolatility-
dc.titleControlling price volatility through financial innovationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn348914253en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Discussion Papers, Kellogg School of Management, Northwestern University

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