6533b85bfe1ef96bd12bbfab

RESEARCH PRODUCT

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

Amparo UrbanoGonzalo RubioAlex Barrachina

subject

Economics and EconometricsLogarithmEconometricsPortfolioMultiplicity (mathematics)Financial equilibriumFunction (mathematics)Constant (mathematics)FinanceUtility modelMathematics

description

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.

yearjournalcountryeditionlanguage
2012-07-01The Spanish Review of Financial Economics
https://doi.org/10.1016/j.srfe.2012.04.002