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Asset market equilibrium with short-selling and differential information Author info | Abstract | Publisher info | Download info | Related research | Statistics Wassim Daher (CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - CNRS : UMR8095 - Université Panthéon-Sorbonne - Paris I)
V. Filipe Martins-Da-Rocha (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - CNRS : UMR7534 - Université Paris Dauphine - Paris IX)
Yiannis Vailakis (CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - CNRS : UMR8095 - Université Panthéon-Sorbonne - Paris I)
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We introduce differential information in the asset market model studied by Cheng (1991), Dana and Le Van (1996) and Le Van and Truong Xuan (2001). An equilibrium existence result is proven assuming that the economy's information structure satisfies the conditional independency property.
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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number
halshs-00173787_v1.
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Date of creation: Dec 2005Date of revision:
Handle: RePEc:hal:cesptp:halshs-00173787_v1Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00173787/en/Contact details of provider: Web page: http://hal.archives-ouvertes.fr/
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Keywords: Asset market ; differential information ; competitive equilibrium ; Other versions of this item:
References listed on IDEAS 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.: Cheng, Harrison H. C., 1991.
"Asset market equilibrium in infinite dimensional complete markets ,"
Journal of Mathematical Economics ,
Elsevier, vol. 20(1), pages 137-152.
[Downloadable!] (restricted)
Wassim Daher & V. Filipe Martins-Da-Rocha & Yiannis Vailakis, 2005.
"Asset market equilibrium with short-selling and differential information ,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00173787_v1, HAL.
[Downloadable!]
Other versions: Nizar Allouch & Monique Florenzano, 2004.
"Edgeworth and Walras equilibria of an arbitrage-free exchange economy ,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00086096_v1, HAL.
[Downloadable!]
Other versions:
Allouch, N. & Florenzano, M., 2000.
"Edgeworth and Walras Equilibria of an Arbitrage-Free Exchange Economy ,"
Papiers d'Economie Mathématique et Applications
2000.119, Université Panthéon-Sorbonne (Paris 1).
Nizar Allouch, 2000.
"Edgeworth and Walras Equilibria of an Arbitrage-Free Exchange Economy ,"
Econometric Society World Congress 2000 Contributed Papers
1901, Econometric Society.
[Downloadable!] Nizar Allouch & Monique Florenzano, 2004.
"Edgeworth and Walras equilibria of an arbitrage-free exchange economy ,"
Economic Theory ,
Springer, vol. 23(2), pages 353-370, January.
[Downloadable!] (restricted) Dana, R.-A. & Le Van, C. & Magnien, F., 1999.
"On the Different Notions of Arbitrage and Existence of Equilibrium ,"
Papiers d'Economie Mathématique et Applications
1999.34, Université Panthéon-Sorbonne (Paris 1).
Other versions:
Dana, Rose-Anne & Le Van, Cuong & Magnien, François, 1996.
"On the different notions of arbitrage and existence of equilibrium ,"
CEPREMAP Working Papers (Couverture Orange)
9616, CEPREMAP.
Dana, Rose-Anne & Le Van, Cuong & Magnien, Francois, 1999.
"On the Different Notions of Arbitrage and Existence of Equilibrium ,"
Journal of Economic Theory ,
Elsevier, vol. 87(1), pages 169-193, July.
[Downloadable!] (restricted) Werner, Jan, 1987.
"Arbitrage and the Existence of Competitive Equilibrium ,"
Econometrica ,
Econometric Society, vol. 55(6), pages 1403-18, November.
[Downloadable!] (restricted)
Duffie, J Darrell & Huang, Chi-fu, 1985.
"Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities ,"
Econometrica ,
Econometric Society, vol. 53(6), pages 1337-56, November.
[Downloadable!] (restricted)
Carlos Hervés-Beloso & Emma Moreno-García & Nicholas Yannelis, 2005.
"Characterization and incentive compatibility of Walrasian expectations equilibrium in infinite dimensional commodity spaces ,"
Economic Theory ,
Springer, vol. 26(2), pages 361-381, 08.
[Downloadable!] (restricted)
Wassin Daher & V. Filipe Martins-da-Rocha & Yiannis Vailakis, 2005.
"Asset market equilibrium with short-selling and differential information ,"
Cahiers de la Maison des Sciences Economiques
b05098, Université Panthéon-Sorbonne (Paris 1).
[Downloadable!]
Monique Florenzano, 2008.
"General equilibrium ,"
Documents de travail du Centre d'Economie de la Sorbonne
b08005, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
[Downloadable!]
Other versions: 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.
[Downloadable!] (restricted)
Koutsougeras, Leonidas C & Yannelis, Nicholas C, 1993.
"Incentive Compatibility and Information Superiority of the Core of an Economy with Differential Information ,"
Economic Theory ,
Springer, vol. 3(2), pages 195-216, April.
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.
[Downloadable!] (restricted)
Aliprantis, Charalambos D., 1997.
"Separable utility functions ,"
Journal of Mathematical Economics ,
Elsevier, vol. 28(4), pages 415-444, November.
[Downloadable!] (restricted)
Dr. Peter Kenning & Hilke Plassmann, 2004.
"NeuroEconomics ,"
Experimental
0412005, EconWPA.
[Downloadable!]
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.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , 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.)
Hervés-Beloso, Carlos & Martins-da-Rocha, V. F. & Monteiro, Paulo Klinger, 2008.
"Equilibrium theory with asymmetric information and infinitely many states ,"
Economics Working Papers (Ensaios Economicos da EPGE)
673, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
[Downloadable!]
Other versions: Wassim Daher & V. Martins-da-Rocha & Yiannis Vailakis, 2007.
"Asset market equilibrium with short-selling and differential information ,"
Economic Theory ,
Springer, vol. 32(3), pages 425-446, September.
[Downloadable!] (restricted)
Other versions: João Correia-da-Silva & Carlos Hervés-Beloso, 2009.
"Prudent expectations equilibrium in economies with uncertain delivery ,"
Economic Theory ,
Springer, vol. 39(1), pages 67-92, April.
[Downloadable!] (restricted)
Other versions: Martins-da-Rocha, V. F. & Angeloni, Laura, 2008.
"Large economies with differential information but without free disposal ,"
Economics Working Papers (Ensaios Economicos da EPGE)
671, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
[Downloadable!]
Laura Angeloni & V. Martins-da-Rocha, 2009.
"Large economies with differential information and without free disposal ,"
Economic Theory ,
Springer, vol. 38(2), pages 263-286, February.
[Downloadable!] (restricted)
Angeloni, Laura & Martins-da-Rocha, V. F., 2007.
"Contract enforcement and incentive compatibility in large economies with differential information: the role of exact feasibility ,"
Economics Working Papers (Ensaios Economicos da EPGE)
647, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
[Downloadable!]
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