haku: @author Basak, S. / yhteensä: 6
viite: 5 / 6
| Tekijä: | Basak, S. |
| Otsikko: | Consumption choice and asset pricing with a non-price-taking agent |
| Lehti: | Economic Theory
1997 : Vol. 10:3, p. 437-462 |
| Asiasana: | CONSUMPTION ASSET VALUATION AGENCY THEORY |
| Kieli: | eng |
| Tiivistelmä: | This paper develops a pure-exchange model to study the consumption-portfolio problem of an agent who acts as a non-price-taker, and to analyze the implications of his behavior on equilibrium security prices. The non-price-taker is modeled as a price leader in all markets; his price impact is then recast as a dependence of the Arrow-Debreu prices on his consumption, allowing a tractable formulation. Besides the aggregate consumption, the endowment of the non-price-taker appears as an additional factor in driving equilibrium allocations and prices. Comparisons of equilibria between a price-taking and a non-price-taking economy are carried out. |
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