An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
在纯交换经济中给出了均衡价格系统与状态变量过程构成扩散过程的充分条件，利用鞅表示技术刻画均衡投资组合策略，适用于不存在有限维马尔可夫结构的经济。
This paper provides sufficient conditions for the equilibrium price system and a vector of exogenously specified state variable processes to form a diffusion process in a pure exchange economy. The conditions involve smoothness of agents' utility functions and certain nice properties of the aggregate endowment process and the dividend processes of traded assets. In place of the dynamic programming, a martingale representation technique is utilized to characterize equilibrium portfolio policies. This technique is useful even when there does not exist a finite dimensional Markov structure in the economy and thus the Markovian stochastic dynamic programming is not applicable. A gents are shown to hold certain hedging mutual funds and the riskless asset. In contrast to earlier results, the market portfolio does not have a special role in hedging, since the markets are dynamically complete. When there exists a finite dimensional Markov system in the economy, the dimension of the hedging demand identified through the Markovian dynamic programming may be much larger than that identified by the martingale method. Copyright 1987 by The Econometric Society.