Multiplicity in financial equilibrium with portfolio constrains under the generalized logarithmic utility model

  1. Barrachina, Alex
  2. Rubio Irigoyen, Gonzalo
  3. Urbano Salvador, Amparo
Revista:
The Spanish Review of Financial Economics

ISSN: 2173-1268

Año de publicación: 2012

Volumen: 10

Número: 2

Páginas: 41-52

Tipo: Artículo

DOI: 10.1016/J.SRFE.2012.04.002 DIALNET GOOGLE SCHOLAR lock_openAcceso abierto editor

Otras publicaciones en: The Spanish Review of Financial Economics

Resumen

Previous research on the effects of constraints to take unbounded positions in risky financial assets shows that, under the logarithmic utility function, multiplicity of equilibrium may emerge. This paper shows that this result is robust to either constant, decreasing or increasing relative risk aversion obtained under the generalized logarithmic utility function.

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Información de financiación

Alex Barrachina and Amparo Urbano acknowledge financial support from the Ministry of Science and Technology and the European Feder Funds under projects SEJ2007-66581 and ECO-2010-20584. Gonzalo Rubio acknowledges financial support from Ministry of Science and Innovation grant ECO2008-03058/ECON and CEU-UCH/Banco de Santander Copernicus 4/2011, and Amparo Urbano and Gonzalo Rubio thank the Prometeo Programme of the Generalitat Valenciana for financial support under projects PROMETEO/2009/068 and PROMETEO/2008/106 respectively. Appendix A A.1

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