This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Existence of financial equilibria with restricted participation

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Zaier Aouani () (ISET - International School of Economics at TSU, CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I)
Bernard Cornet () (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I, University of Kansas - University of Kansas)

Additional information is available for the following registered author(s):

Abstract

We consider a two-date model of a financial exchange economy with finitely many agents having nonordered preferences and portfolio constraints. There is a market for physical commodities at any state today or tomorrow and financial transfers across time and across states are allowed by means of finitely many nominal assets or numeraire assets. We prove a general existence result of equilibria for such a financial exchange economy in which portfolios are defined by linear constraints, extending the framework of linear equality constraints by Balasko et al. (1990) and the existence results in the unconstrained case by Cass (1984, 2006), Werner (1985), Duffie (1987) and Geanakoplos and Polemarchakis (1986). Our main result is a consequence of an auxiliary result, also of interest for itself, in which agents' portofolio constraints are defined by general closed convex sets and the financial structure is assumed to satisfy a "nonredundancy-type" assumption, weaker than the ones in Radner (1972) and Siconolfi (1989).

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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.

File URL: http://halshs.archives-ouvertes.fr/docs/00/42/64/41/PDF/09063.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00426441_v1.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: Oct 2009
Date of revision:
Handle: RePEc:hal:cesptp:halshs-00426441_v1

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00426441/en/
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/

For technical questions regarding this item, or to correct its listing, contact: (CCSD).

Related research
Keywords: Restricted participation; portfolio constraints; financial exchange economy; equilibrium; existence; arbitrage-free asset prices.;

Other versions of this item:

This paper has been announced in the following NEP Reports:
Statistics
Access and download statistics

Did you know? A few items listed on IDEAS are over 2000 years old!

This page was last updated on 2009-11-28.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.