Document Type
Article
Journal/Book Title/Conference
Economics Research Institute Study Paper
Volume
9
Publisher
Utah State University Department of Economics
Publication Date
2000
First Page
1
Last Page
30
Abstract
We develop a theory of valuation of payoff streams in infinite-horizon sequential markets and discuss implications of this theory for equilibrium under various portfolio constraints. We study the nature of asset price bubbles in light of this theory. We show that there cannot be equilibrium price bubbles on asset in positive net supply under a transversality restriction. Our analysis extends the work by Huang and Werner [9] to stochastic settings with complete or incomplete markets.
Recommended Citation
Huang, Kevin X.D., "Valuation and Asset Pricing in Infinite-Horizon Sequential Markets With Portfolio Constraints" (2000). Economic Research Institute Study Papers. Paper 185.
http://digitalcommons.usu.edu/eri/185