Multiple equilibria in a simple asset pricing model

Todd B. Walker, Charles H. Whiteman

Research output: Contribution to journalArticle

4 Scopus citations

Abstract

Multiple stationary equilibria are often encountered in standard asset pricing models when one assumes negative-exponential utility with Gaussian uncertainty. This paper demonstrates that there are exactly two stationary equilibria, which are due solely to the presence of nonlinearities.

Original languageEnglish (US)
Pages (from-to)191-196
Number of pages6
JournalEconomics Letters
Volume97
Issue number3
DOIs
StatePublished - Dec 1 2007

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics
  • Finance

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