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Identification of Individual Demands from Market Data under Uncertainty

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  • Carvajal Andres

    ()
    (University of Warwick)

  • Riascos Alvaro Jose

    ()
    (Universidad de los Andes)

Abstract

We show that, even under incomplete markets, the equilibrium manifold identifies individual demands everywhere in their domains. Under partial observation of the manifold, we determine maximal subsets of the domains on which identification holds. For this, we assume conditions of smoothness, interiority and regularity. It is crucial that there be date-zero consumption. As a by-product, we develop a duality theory under incomplete markets.

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Bibliographic Info

Article provided by De Gruyter in its journal The B.E. Journal of Theoretical Economics.

Volume (Year): 8 (2008)
Issue (Month): 1 (March)
Pages: 1-30

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Handle: RePEc:bpj:bejtec:v:8:y:2008:i:1:n:9

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Cited by:
  1. Andrés Carvajal, 2010. "The testable implications of competitive equilibrium in economies with externalities," Economic Theory, Springer, vol. 45(1), pages 349-378, October.
  2. Carvajal, Andrés & Polemarchakis, Herakles, 2011. "Idiosyncratic risk and financial policy," Journal of Economic Theory, Elsevier, vol. 146(4), pages 1569-1597, July.

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