G.E. with Asset Markets - Selected References -

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B. Allen (1986) "General Equilibrium with Rational Expectations", in W. Hildenbrand and A. Mas-Colell, editors, Contributions to Mathematical Economics in honor of Gerard Debreu. Amstedam: North-Holland.

F. Allen and D. Gale (1994) Financial Innovation and Risk Sharing. Cambridge, Mass: M.I.T. Press.

K.J. Arrow (1953) "The Role of Securities in the Optimal Allocation of Risk-Bearing", Econometrie; as translated and reprinted in 1964, Review of Economic Studies, Vol. 31, p.91-6.

Y. Balasko and D. Cass (1989) "The Structure of Financial Equilibrium with Exogenous Yields: The case of incomplete markets", Econometrica, Vol. 57 (1), p.135-62.

F. Black and M.J. Scholes (1973) "The Pricing of Options and Corporate Liabilities", Journal of Poliical Economy, Vol. 81 (3), p.637-54.

M. Bray (1989) "Rational Expectations, Information and Asset Markets", in F.H. Hahn, editor, The Economics of Missing Markets, Information and Games. Oxford: Clarendon.

D. Cass (1984) "Competitive Equilibrium with Incomplete Financial Markets", CARESS discussion paper, University of Pennsylvania.

D. Cass (1985) "On the `Number' of Equilibrium Allocations with Incomplete Financial markets", CARESS discussion paper, University of Pennsylvania.

J. Cox and S.A. Ross (1976) "The Valuation of Options for Alternative Stochastic Processes, Journal of Financial Economics, Vol. 3, p.145-66.

J. Cox, S.A. Ross and M. Rubinstein (1979) "Option Pricing: A simplified approach", Journal of Financial Economics, Vol. 7 (3), p.229-63.

J. Cox and M. Rubinstein (1985) Options Markets. Englewood Cliffs, NJ: Prentice-Hall.

G. Debreu (1959) Theory of Value: An axiomatic analysis of economic equilibrium. New Haven: Yale University Press.

P.A. Diamond (1967) "The Role of a Stock Market in a General Equilibrium Model with Technological Uncertainty", American Economic Review, Vol. 57, p.759-76.

D. Duffie (1987) "Stochastic Equilibria with Incomplete Financial Markets", Journal of Economic Theory, Vol. 41, p.404-16.

D. Duffie (1992) Dynamic Asset Pricing Theory. 1996 edition, Princeton, NJ: Princeton University Press.

D. Duffie and C.F. Huang (1985) "Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities", Econometrica, Vol. 53, p.1337-56.

D. Duffie and W. Shafer (1985) "Equilibrium with Incomplete Markets, I: A basic model of generic existence", Journal of Mathematical Economics, Vol. 14 (1), p.285-99.

D. Duffie and W. Shafer (1986) "Equilibrium with Incomplete Markets, II: Generic existence in stochastic economies", Journal of Mathematical Economics, Vol. 15, p.199-216.

P.H. Dybvig and S.A. Ross (1987) "Arbitrage", in Eatwell, Milgate and Newman, editors, The New Palgrave: Finance. New York: Norton.

S. Fischer (1972) "Assets, Contingent Commodities and the Slutsky Equation", Econometrica, Vol. 40, p.371-86.

I. Fisher (1930) Theory of Interest: As determined by impatience to spend income and opportunity to invest it. 1974 reprint, New York: Augustus M. Kelley.

J. Geanakoplos and A. Mas-Colell (1989) "Real Indeterminacy with Financial Assets", Journal of Economic Theory, Vol. 47 (1), p.22-38.

J. Geanakoplos and H.M. Polemarchakis (1986) "Existence, Regularity and Constrained Suboptimality of Competitive Allocations when the Asset Market is Incomplete", in Heller et al., editors, Uncertainty, Information and Communication: Essays in honor of Kenneth J. Arrow, Vol. III. Cambridge, UK: Cambridge University Press.

J.M. Grandmont (1974) "On the Short Run Equilibrium in a Monetary Economy", in J. Drèze, editor, Allocation under Uncertainty: equilibrium and optimality. London: Macmillan.

J.M. Grandmont (1977) "Temporary General Equilibrium Theory", Econometrica, Vol. 45 (3), p.535-72.

J.M. Grandmont (1982) "Temporary General Equilibrium Theory", in K.J. Arrow and M.D. Intiligator, editors, Handbook of Mathematical Economics, Vol. II. Amsterdam: North-Holland.

J.M. Grandmont (1983) Money and Value: a reconsideration of classical and neoclassical monetary theories. Cambridge, UK: Cambridge University Press.

J.R. Green (1973) "Temporary General Equilibrium in a Sequential Trading Model with Spot and Future Transactions", Econometrica, Vol. 41, p.1103-23.

S.J. Grossman (1981) "An Introduction to the Theory of Rational Expectations under Asymmetric Information", Review of Economic Studies, Vol. 48, p.541-59.

S.J. Grossman and O.D. Hart (1979) "A Theory of Competitive Equilibrium in Stock Market Economies", Econometrica, Vol. 47 (2), p.293-330.

F.H. Hahn (1965) "On Some Problems of Proving the Existence of an Equilibrium in a Monetary Economy", in Hahn and Brechling, editors, Theory of Interest Rates. London: Macmillan.

F.H. Hahn (1971) "Equilibrium with Transactions Costs", Econometrica, Vol. 39 (3), p.417-39.

F.H. Hahn, (1973) "On Transaction Costs, Inessential Sequence Economies and Money", Review of Economic Studies, Vol. 40, p.449-61.

M.J. Harrison and D.M. Kreps (1979) "Martingales and Arbitrage in Multiperiod Securities Markets", Journal of Economic Theory, Vol. 20, p.381-408.

O.D. Hart (1975) "On the Optimality of Equilibrium when the Market Structure is Incomplete", Journal of Economic Theory, Vol. 11, p.418-43.

J.R. Hicks (1939) Value and Capital: An inquiry into some fundamental principles of economic theory. 1946 Edition, Oxford: Clarendon Press.

M.D. Hirsch, M. Magill and A. Mas-Colell (1990) "A Geometric Approach to a Class of Equilibrium Existence Problems", Journal of Mathematical Economics, Vol. 19 (1/2), p.95-106.

C.F. Huang and R.H. Litzenberger (1988) Foundations for Financial Economics. Amsterdam: North-Holland.

J.E. Ingersoll (1987) Theory of Financial Decision Making. Savage, MD: Rowman and Littlefied.

J.S. Jordan and R. Radner (1982) "Rational Expectations in Microeconomic Models: An overview", Journal of Economic Theory, Vol. 26, p.201-23.

D.M. Kreps (1982) "Multiperiod Securities and the Efficient Allocation of Risk: A comment on the Black-Scholes Option Pricing Model", in J. McCall, editor, The Economics of Uncertainty and Information. Chicago: University of Chicago Press.

J.J. Laffont (1989) The Economics of Uncertainty and Information. Cambridge, Mass: M.I.T. Press.

E. Lindahl (1939) Studies in the Theory of Money and Capital. New York: Farrar and Rinehart.

R.E. Lucas (1972) "Expectations and the Neutrality of Money", Journal of Economic Theory, Vol. 4, p.103-24.

E. Lundberg (1937) Studies in the Theory of Economic Expansion. London: P.S. King.

M. Magill and W. Shafer (1990) "Characterisation of Generically Complete Real Asset Structures", Journal of Mathematical Economics, Vol. 19 (1/2), p.167-194.

M.. Magill and M. Quinzii (1996) Theory of Incomplete Markets: Vol. I. Cambridge, Mass: the M.I.T. Press.

M. Magill and W. Shafer, (1991) "Incomplete Markets", in W. Hildenbrand and H. Sonnenschein, editors, Handbook of Mathematical Economics, Vol. IV. Amsterdam: North-Holland.

R. Radner (1967) "Equilibrie des marchés à terme et au comptant en cas d'incertitude", Cahiers d'Econométrie. Paris: CNRS, Vol. 4, p.35-52.

R. Radner (1972) "Existence of Equilibrium of Plans, Prices and Price Expectations in a Sequence of Markets", Econometrica, Vol. 40 (2), p.289-303.

R. Radner (1982) "Equilibrium Under Uncertainty", in K.J. Arrow and M.D. Intriligator, editors, Handbook of Mathematical Economics, Vol. II. Amsterdam: North-Holland.

R. Repullo (1986) "On the Generic Existence of Radner Equilibria when there are as Many Securities as States of Nature", Economics Letters, Vol. 21, p.101-5.

S.A. Ross (1976) "The Arbitrage Theory of Capital Asset Pricing", Journal fo Economic Theory, Vol. 13, p.341-60.

S.A. Ross (1976) "Return, Risk and Arbitrage", in I. Friend and J. Bicksler, editors, Studies in Risk and Return. Cambridge, Mass: Ballinger.

S.A. Ross (1976) "Options and Efficiency", Quarterly Journal of Economics, Vol. 90, p.76-89.

B. Stigum (1969) "Competitive Equilibrium under Uncertainty", Quarterly Journal of Economics, Vol. 83, p.533-61.

J. Werner (1985) "Equilibrium in Economies with Incomplete Financial Markets", Journal of Economic Theory, Vol. 36, p.110-19.

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