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General equilibrium of financial markets

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Author Info
Monique Florenzano () (CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - CNRS : UMR8095 - Université Panthéon-Sorbonne - Paris I)

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Abstract

The purpose of this paper is to explain the role of financial assets in allowing individual agents of an economy to make at time 0 some limited commitments into the future which, at some extent, redistribute their revenue among several time periods and different states of the world. It is done studying in different contexts the general equilibrium of a simple two-period exchange model, under weaker assumptions and in a more general setting than the ones usually described in the literature.Several equilibrium existence theorems are stated and proved. Even in this simple framework, they often require a rather sophisticated mathematical background and are of a deep economic significance. Moreover, they are a necessary step towards further developments (including infinite horizon, continuous time, continuum of states of the world, defaut and collateral securities, ...).

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00085543_v1.

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Date of creation: 1999
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Handle: RePEc:hal:cesptp:halshs-00085543_v1

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Related research
Keywords: general equilibrium; incomplete financial markets; arbitrage; numeraire assets; real assets; pseudo-equilibrium;

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  1. 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. [Downloadable!] (restricted)
  2. Gale, D. & Mas-Colell, A., 1979. "Corrections to an equilibrium existence theorem for a general model without ordered preferences," Journal of Mathematical Economics, Elsevier, vol. 6(3), pages 297-298, December. [Downloadable!] (restricted)
  3. Ted Bergstrom, 1976. "How to Discard Free Disposability--At No Cost," University of California at Santa Barbara, Economics Working Paper Series 1976C, Department of Economics, UC Santa Barbara. [Downloadable!]
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  4. 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. [Downloadable!] (restricted)
  5. Werner, Jan, 1985. "Equilibrium in economies with incomplete financial markets," Journal of Economic Theory, Elsevier, vol. 36(1), pages 110-119, June. [Downloadable!] (restricted)
  6. Chae, Suchan, 1988. "Existence of competitive equilibrium with incomplete markets," Journal of Economic Theory, Elsevier, vol. 44(1), pages 179-188, February. [Downloadable!] (restricted)
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