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The existence of security market equilibrium with a non-atomic state space

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  • Mas-Colell, Andreu
  • Zame, William R.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 26 (1996)
Issue (Month): 1 ()
Pages: 63-84

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Handle: RePEc:eee:mateco:v:26:y:1996:i:1:p:63-84

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Web page: http://www.elsevier.com/locate/jmateco

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References

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  1. David K. Levine & William Zame, 1996. "Debt Constraints and Equilibrium in Infinite Horizon Economies with Incomplete Markets," Levine's Working Paper Archive 1954, David K. Levine.
  2. Hellwig, Martin, 1996. "Rational expectations equilibria in sequence economies with symmetric information: The two-period case," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 9-49.
  3. Duffie, Darrell & Shafer, Wayne, 1986. "Equilibrium in incomplete markets: II : Generic existence in stochastic economies," Journal of Mathematical Economics, Elsevier, vol. 15(3), pages 199-216, June.
  4. Gale, D. & Mas-Colell, A., 1975. "An equilibrium existence theorem for a general model without ordered preferences," Journal of Mathematical Economics, Elsevier, vol. 2(1), pages 9-15, March.
  5. Levine, David K., 1989. "Infinite horizon equilibrium with incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 18(4), pages 357-376, September.
  6. Radner, Roy, 1972. "Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets," Econometrica, Econometric Society, vol. 40(2), pages 289-303, March.
  7. Magill, M. & Quinzii, M., 1992. "Infinite Horizon Incomplete Markets," Papers 413a, California Davis - Institute of Governmental Affairs.
  8. Hart, Oliver D., 1975. "On the optimality of equilibrium when the market structure is incomplete," Journal of Economic Theory, Elsevier, vol. 11(3), pages 418-443, December.
  9. Duffie, Darrell & Shafer, Wayne, 1985. "Equilibrium in incomplete markets: I : A basic model of generic existence," Journal of Mathematical Economics, Elsevier, vol. 14(3), pages 285-300, June.
  10. Kreps, David M., 1981. "Arbitrage and equilibrium in economies with infinitely many commodities," Journal of Mathematical Economics, Elsevier, vol. 8(1), pages 15-35, March.
  11. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September.
  12. repec:att:wimass:9108 is not listed on IDEAS
  13. Zame,William, 1988. "Asymptotic behaviour or asset markets,I: Asymptotic inefficience," Discussion Paper Serie A 220, University of Bonn, Germany.
  14. Paulo Klinger Monteiro, 1994. "A New Proof Of The Existence Of Equilibrium In Incomplete Markets Economies," GE, Growth, Math methods 9410001, EconWPA.
  15. Magill, Michael & Shafer, Wayne, 1991. "Incomplete markets," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 30, pages 1523-1614 Elsevier.
  16. Werner, Jan, 1985. "Equilibrium in economies with incomplete financial markets," Journal of Economic Theory, Elsevier, vol. 36(1), pages 110-119, June.
  17. Mas-Colell, Andreu & Monteiro, Paulo K., 1996. "Self-fulfilling equilibria: An existence theorem for a general state space," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 51-62.
  18. Mas-Colell, Andreu & Zame, William R., 1991. "Equilibrium theory in infinite dimensional spaces," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 34, pages 1835-1898 Elsevier.
  19. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  20. David M. Kreps, 1982. "Multiperiod Securities and the Efficient Allocation of Risk: A Comment on the Black-Scholes Option Pricing Model," NBER Chapters, in: The Economics of Information and Uncertainty, pages 203-232 National Bureau of Economic Research, Inc.
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Citations

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Cited by:
  1. Jaime Jose Orrillo Carhuajulca, 2000. "Default and Exogenous Collateral in Incomplete Markets with a Continuum of States," Econometric Society World Congress 2000 Contributed Papers 1860, Econometric Society.
  2. Duffie, Darrell, 1996. "Incomplete security markets with infinitely many states: An introduction," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 1-8.
  3. Charalambos Aliprantis & Rabee Tourky, 2009. "Equilibria in incomplete assets economies with infinite dimensional spot markets," Economic Theory, Springer, vol. 38(2), pages 221-262, February.
  4. A.Araujo & P.K.Monteiro & M. Pascoa, 1994. "Existence of equilibria with infinitely many goods, incomplete markets and bankruptcy," Working Papers _001, Instituto de Matematica Pura e Aplicada de Rio de Janeiro.
  5. Laura Angeloni & Bernard Cornet, 2005. "Existence Of Financial Equilibria In A Multiperiod Stochastic Economy," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200506, University of Kansas, Department of Economics, revised Feb 2005.
  6. KLINGER MONTEIRO, Paulo & PASCOA, Mario R., 1997. "Discreteness of equilibria in incomplete markets with a continuum of states," CORE Discussion Papers 1997043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. Hervé Crès & Tobias Markeprand & Mich Tvede, 2009. "Incomplete Financial Markets and Jumps in Asset Prices," Discussion Papers 09-12, University of Copenhagen. Department of Economics.
  8. Abdelkrim Seghir, 2006. "An overlapping generations model with non-ordered preferences and numeraire-incomplete markets," Decisions in Economics and Finance, Springer, vol. 28(2), pages 95-112, 02.

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