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Existence Of Financial Equilibria In A Multiperiod Stochastic Economy

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  • Laura Angeloni

    (Dipartimento di Matematica e Informatica, Universita degli Studi di Perugia)

  • Bernard Cornet

    (Department of Economics, The University of Kansas)

Abstract

We consider the model of a stochastic financial exchange economy where time and uncertainty are represented by a finite event-tree of length T. We provide a general existence result of financial equilibria, which allows to cover several important cases of financial structures considered in the literature, such as nominal and numeraire assets, when consumers may have constraints on their portfolios.

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Bibliographic Info

Paper provided by University of Kansas, Department of Economics in its series WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS with number 200506.

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Length: 9 pages
Date of creation: Feb 2005
Date of revision: Feb 2005
Handle: RePEc:kan:wpaper:200506

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  1. Cuoco, Domenico, 1997. "Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income," Journal of Economic Theory, Elsevier, vol. 72(1), pages 33-73, January.
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  7. Monteiro, Paulo Klinger, 1996. "A new proof of the existence of equilibrium in incomplete market economies," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 85-101.
  8. Alessandro Citanna & Karl Schmedders, 2005. "Excess price volatility and financial innovation," Economic Theory, Springer, vol. 26(3), pages 559-587, October.
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  15. Magill, Michael & Shafer, Wayne, 1991. "Incomplete markets," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 30, pages 1523-1614 Elsevier.
  16. Mas-Colell, Andreu & Zame, William R., 1996. "The existence of security market equilibrium with a non-atomic state space," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 63-84.
  17. Cass, David & Siconolfi, Paolo & Villanacci, Antonio, 2001. "Generic regularity of competitive equilibria with restricted participation," Journal of Mathematical Economics, Elsevier, vol. 36(1), pages 61-76, September.
  18. Cass, David, 2006. "Competitive equilibrium with incomplete financial markets," Journal of Mathematical Economics, Elsevier, vol. 42(4-5), pages 384-405, August.
  19. Bergstrom, Theodore C., 1976. "How to discard `free disposability' - at no cost," Journal of Mathematical Economics, Elsevier, vol. 3(2), pages 131-134, July.
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Citations

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Cited by:
  1. Bernard Cornet & Ramu Gopalan, 2009. "Arbitrage and Equilibrium with Portfolio Constraints," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200911, University of Kansas, Department of Economics, revised Dec 2009.
  2. Víctor Pérez Fernández & Juan Pablo Torres-Martínez, 2012. "Incomplete Financial Participation: Exclusive Markets, Investment Clubs, and Credit Risk," Working Papers wp363, University of Chile, Department of Economics.
  3. Bernard Cornet & Philippe Bich, 2009. "Existence of pseudo-equilibria in a financial economy," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200910, University of Kansas, Department of Economics, revised Dec 2009.
  4. Zaier Aouani & Bernard Cornet, 2009. "Existence of financial equilibria with restricted participation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00426441, HAL.
  5. Abdelkrim Seghir & Juan Pablo Torres-Martínez, 2010. "On equilibrium existence with endogenous restricted financial participation," Working Papers wp316, University of Chile, Department of Economics.
  6. Jean-Marc Bonnisseau & Achis Chery, 2011. "On the rank of payoff matrices with long-term assets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00659183, HAL.
  7. Bernard Cornet & Abhishek Ranjan, 2012. "A remark on arbitrage free prices in multi-period economy," Documents de travail du Centre d'Economie de la Sorbonne 12035, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  8. Michele Gori & Marina Pireddu & Antonio Villanacci, 2010. "Regularity and Pareto Improving on financial equilibria with endogenous borrowing restrictions," Working Papers - Mathematical Economics 2010-08, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, revised Aug 2012.

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