Existence of Equilibrium in Financial Markets: Hart´s Securities Exchange Model with Consumption in the First Period
AbstractHart has established necessary and su¢ cient conditions for the existence of equilibrium in an economy consisting of two time periods in which agents trade assets whose returns depend on an uncertain state of nature. Hammond has enounced an equivalent condition from an alternative approach to Hart.s model. In both cases, it is assumed that agents maximize the expected value of their utility in the second period, when the asset returns are paid. In this paper, Hart´s model is modified in such a way that agents also value consumption in the first period and the implications of this modi.cation on the conditions proposed by these authors are analyzed.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by UNIVERSIDAD DE LOS ANDES-CEDE in its series DOCUMENTOS CEDE with number 006711.
Date of creation: 31 Dec 2008
Date of revision:
Contact details of provider:
General Equilibrium; financial markets; securities model;
Find related papers by JEL classification:
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hammond, Peter J., 1983. "Overlapping expectations and Hart's conditions for equilibrium in a securities model," Journal of Economic Theory, Elsevier, vol. 31(1), pages 170-175, October.
- Green, Jerry R, 1973. "Temporary General Equilibrium in a Sequential Trading Model with Spot and Futures Transactions," Econometrica, Econometric Society, vol. 41(6), pages 1103-23, November.
- Werner, Jan, 1987. "Arbitrage and the Existence of Competitive Equilibrium," Econometrica, Econometric Society, vol. 55(6), pages 1403-18, November.
- Andrés Carvajal & Alvaro Riascos, 2006. "Belief Non-Equivalence And Financial Trade: A Comment On A Result By Araujo And Sandroni," DOCUMENTOS CEDE 002062, UNIVERSIDAD DE LOS ANDES-CEDE.
- Hart, Oliver D., 1974. "On the existence of equilibrium in a securities model," Journal of Economic Theory, Elsevier, vol. 9(3), pages 293-311, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Universidad De Los Andes-Cede).
If references are entirely missing, you can add them using this form.