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Probability and Computational Finance Seminar
Kim Weston
Carnegie Mellon University
Title: An Equilibrium Model with Limited Market Participation

Abstract: Many investors lack access to at least some of the world's securities markets. In this talk, I will study an equilibrium model originally proposed by Basak and Cuoco in a simple continuous-time setting in which there are two classes of investors: one that has full access a stock market and bank account, and another with only access to the bank account. An equilibrium existence result and the more recent work of Hugonnier detailing the presence of bubbles in equilibrium will be discussed. I will also comment on possible extensions of this work for future study.

Date: Monday, March 18, 2013
Time: 5:00 pm
Location: Wean Hall 6423
Submitted by:  Dmitry Kramkov