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

• Autores: Alex Barrachina, Gonzalo Rubio Irigoyen, Amparo Urbano Salvador
• Localización: The Spanish Review of Financial Economics, ISSN 2173-1268, Vol. 10, Nº. 2, 2012, págs. 41-52
• Idioma: inglés
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• Resumen

  • 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.