EQUILIBRIUM OF SPOT AND FUTURES MARKETS UNDER UNCERTAINTY.
Abstract
The relation between equilibrium and optimum under uncertainty is explored in a model of an economy with spot markets at each date and with an incomplete system of futures markets for delivery contingent on future events. An equilibrium is a consistent set of plans, spot prices, and conditional forecasts of future prices. For the economy to achieve an optimum relative to a given structure of information, economic agents must be able to buy insurance against changes in spot prices. The role of spot prices as information signals is emphasized. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Apr 01, 1967
- Accession Number
- AD0654901
Entities
People
- Roy Radner
Organizations
- University of California, Berkeley