Consider an economy as described at the beginning of Sect. 8.3, under the additional assumptions that (a^{i}=a>0)
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Consider an economy as described at the beginning of Sect. 8.3, under the additional assumptions that \(a^{i}=a>0\) and \(\sigma_{\varepsilon^{i}}^{2}=1\), for all \(i=1, \ldots, I\). Assume furthermore that each agent has a random initial endowment \(\tilde{e}^{i}\) (in terms of units of the risky asset), which is normally distributed with zero mean and variance \(\sigma_{e}^{2}\), for all \(i=1, \ldots, I\). Show that this economy admits the partially revealing GreenLucas equilibrium price functional given in (8.23).
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Financial Markets Theory Equilibrium Efficiency And Information
ISBN: 9781447174042
2nd Edition
Authors: Emilio Barucci, Claudio Fontana
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