Representative Agent and Asset Pricing on Large Security Market

摘要：

This paper discusses the problem of representative agent and asset pricing for security market with a continuum of traders, called as large security market. For such markets, the representative agent have been defined and the pricing formula of security has been given under common conditions. We have generalized the related classical results, most of which was reviewed by Duffie, D. (1996).

关键词： large security market representative agent asset pricing

作者: ZHANG Guosheng

作者单位: The School of International Economics and Trade, Beijing International Studies University, Beijing, P.R.China, 100024

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 950-955

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）