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Asset Equilibria in "L" Spaces with Complete Markets: A Duality Approach

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  • Dana, R.A.
  • Le Van, C.

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  • Dana, R.A. & Le Van, C., 1996. "Asset Equilibria in "L" Spaces with Complete Markets: A Duality Approach," Papers 95.388, Toulouse - GREMAQ.
    • Handle: RePEc:fth:gremaq:95.388
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    References listed on IDEAS

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    1. Mas-Colell,Andreu, 1990. "The Theory of General Economic Equilibrium," Cambridge Books, Cambridge University Press, number 9780521388702, January.
    2. Duffie, Darrell & Zame, William, 1989. "The Consumption-Based Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 57(6), pages 1279-1297, November.
    3. Donald J. Brown & Jan Werner, 1995. "Arbitrage and Existence of Equilibrium in Infinite Asset Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 62(1), pages 101-114.
    4. Mas-Colell, Andreu, 1991. "Indeterminacy in Incomplete Market Economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 1(1), pages 45-61, January.
    5. Kehoe, Timothy J & Levine, David K, 1985. "Comparative Statics and Perfect Foresight in Infinite Horizon Economies," Econometrica, Econometric Society, vol. 53(2), pages 433-453, March.
    6. Florenzano, Monigue & Le Van, Cuong, 1986. "A note on the Gale-Nikaido-Debreu lemma and the existence of general equilibrium," Economics Letters, Elsevier, vol. 22(2-3), pages 107-110.
    7. Huang, Chi-fu, 1987. "An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information," Econometrica, Econometric Society, vol. 55(1), pages 117-142, January.
    8. Dana, R.A. & Le Van, C. & Magnien, F., 1994. "General Equilibrium in Asset Markets with or without Short-Selling," Papers 9492, Tilburg - Center for Economic Research.
    9. Dana, Rose Anne, 1993. "Existence and Uniqueness of Equilibria When Preferences Are Additively Separable," Econometrica, Econometric Society, vol. 61(4), pages 953-957, July.
    10. Cheng, Harrison H. C., 1991. "Asset market equilibrium in infinite dimensional complete markets," Journal of Mathematical Economics, Elsevier, vol. 20(1), pages 137-152.
    11. Werner, Jan, 1987. "Arbitrage and the Existence of Competitive Equilibrium," Econometrica, Econometric Society, vol. 55(6), pages 1403-1418, November.
    12. Chichilnisky Graciela & Heal Geoffrey M., 1993. "Competitive Equilibrium in Sobolev Spaces without Bounds on Short Sales," Journal of Economic Theory, Elsevier, vol. 59(2), pages 364-384, April.
    13. Unknown, 1986. "Letters," Choices: The Magazine of Food, Farm, and Resource Issues, Agricultural and Applied Economics Association, vol. 1(4), pages 1-9.
    14. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
    15. Ioannis Karatzas & John P. Lehoczky & Steven E. Shreve, 1990. "Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model," Mathematics of Operations Research, INFORMS, vol. 15(1), pages 80-128, February.
    16. Dana, Rose-Anne, 1993. "Existence, uniqueness and determinacy of Arrow-Debreu equilibria in finance models," Journal of Mathematical Economics, Elsevier, vol. 22(6), pages 563-579.
    17. Florenzano Monique & Le Van Cuong, 1986. "Gale-nikaido-debreu lemma and the existence of general equilibrium (the)," CEPREMAP Working Papers (Couverture Orange) 8603, CEPREMAP.
    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.
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    Citations

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    Cited by:

    1. Thai Ha Huy & Cuong Le Van, 2014. "Arbitrage and asset market equilibrium in finite dimensional economies with short," Working Papers 2014-122, Department of Research, Ipag Business School.
    2. Ha-Huy, Thai & Le Van, Cuong, 2017. "Existence of equilibrium on asset markets with a countably infinite number of states," Journal of Mathematical Economics, Elsevier, vol. 73(C), pages 44-53.
    3. Ha-Huy, Thai & Le Van, Cuong & Nguyen, Manh-Hung, 2016. "Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities," Mathematical Social Sciences, Elsevier, vol. 79(C), pages 30-39.
    4. Le Van, Cuong & Truong Xuan, Duc Ha, 2001. "Asset market equilibrium in Lp spaces with separable utilities," Journal of Mathematical Economics, Elsevier, vol. 36(3), pages 241-254, December.
    5. Aliprantis, C. D. & Brown, D. J. & Polyrakis, I. A. & Werner, J., 1998. "Portfolio dominance and optimality in infinite security markets," Journal of Mathematical Economics, Elsevier, vol. 30(3), pages 347-366, October.
    6. Ha-Huy, Thai & Le Van, Cuong & Tran-Viet, Cuong, 2018. "Arbitrage and equilibrium in economies with short-selling and ambiguity," Journal of Mathematical Economics, Elsevier, vol. 76(C), pages 95-100.
    7. Ha-Huy, Thai & Le Van, Cuong & Nguyen, Manh-Hung, 2011. "Arbitrage and asset market equilibrium in infinite dimensional economies with risk-averse expected utilities," LERNA Working Papers 11.12.346, LERNA, University of Toulouse.
    8. Wassim Daher & V. Martins-da-Rocha & Yiannis Vailakis, 2007. "Asset market equilibrium with short-selling and differential information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(3), pages 425-446, September.
    9. Peter Bank & Dmitry Kramkov, 2015. "A model for a large investor trading at market indifference prices. I: Single-period case," Finance and Stochastics, Springer, vol. 19(2), pages 449-472, April.
    10. Thai Ha-Huy & Cuong Le Van, 2012. "Asset market equilibrium with short-selling and a continuum of number of states of nature," Working Papers hal-04132780, HAL.
    11. Jean-Michel Grandmont, 2013. "Tribute to Cuong Le Van," International Journal of Economic Theory, The International Society for Economic Theory, vol. 9(1), pages 5-10, March.
    12. Peter Bank & Dmitry Kramkov, 2013. "The stochastic field of aggregate utilities and its saddle conjugate," Papers 1310.7280, arXiv.org.
    13. Peter Bank & Selim Gökay, 2016. "Superreplication when trading at market indifference prices," Finance and Stochastics, Springer, vol. 20(1), pages 153-182, January.

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    More about this item

    Keywords

    ECONOMETRICS; MATHEMATICS; DEMAND;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • D10 - Microeconomics - - Household Behavior - - - General
    • D19 - Microeconomics - - Household Behavior - - - Other

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