serial: Bulletin of the Czech Econometric Society vol.7, 13 (2001), p. 43-72
keywords: dealership market, continuous-time optimization, asset price
The paper defines a model of asset prices in an economy with decentralized dealership markets for every traded security. The economy is analyzed in continuous time with diffusion uncertainty, and the dealers solve investment and active trade optimization problems with the help of the stochastic maximum principle. The result is a generalized "dealer consumption-based" Capital Asset Pricing Model.
Cosati: 05D, 12B