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

Alex Barrachina , Gonzalo Rubio , Amparo Urbano
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Abstract

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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广义对数效用模型下具有投资组合约束的金融均衡的多重性
以往对风险金融资产无界仓位约束效应的研究表明,在对数效用函数下,均衡可能出现多重性。本文证明了在广义对数效用函数下,该结果对相对风险厌恶值不变、减小或增大均具有鲁棒性。
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