About the second theorem of welfare economics with stock markets
AbstractThis paper discusses necessary optimality conditions for multi-objective optimization problems with application to theSecond Theorem of Welfare Economics. We use the extremal principle, since we consider non-convex sets non-smooth functions.Particularly, we develop a slight generalization of the main result of A. Jofr� and J. Rivera Cayupi [A nonconvex separationproperty and some applications, Math. Program. 108 (2006) 37-51], which allows more flexibility in a stochastic economy with production and stock market. Formally, we define a stock market equilibrium through the necessary optimality conditions at a constrained Pareto optimal allocation. We show that the Second Theorem of Welfare Economics holds in a two-period framework.But, by mean of an example, we show that this later result is no longer true for multi-period economies.
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Bibliographic InfoPaper provided by Université Panthéon-Sorbonne (Paris 1) in its series Cahiers de la Maison des Sciences Economiques with number b06053.
Length: 19 pages
Date of creation: Jul 2006
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Multi-objective optimization; extremal principle; non-smooth analysis; non-convex programming; first-order necessary conditions; Second Theorem of Welfare Economics.;
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Find related papers by JEL classification:
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- D60 - Microeconomics - - Welfare Economics - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-28 (All new papers)
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.:
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"A Theory of Competitive Equilibrium in Stock Market Economies,"
Econometric Society, vol. 47(2), pages 293-329, March.
- Sanford Grossman & Oliver Hart, 1978. "A theory of competitive equilibrium in stock market economies," Special Studies Papers 115, Board of Governors of the Federal Reserve System (U.S.).
- Cornet, B., 1986. "The second welfare theorem in nonconvex economies," CORE Discussion Papers 1986030, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jean-Marc Bonnisseau & Oussama Lachiri, 2004.
"On the objective of firms under uncertainty with stock markets,"
Cahiers de la Maison des Sciences Economiques
b04122, Université Panthéon-Sorbonne (Paris 1).
- Bonnisseau, Jean-Marc & Lachiri, Oussama, 2004. "On the objective of firms under uncertainty with stock markets," Journal of Mathematical Economics, Elsevier, vol. 40(5), pages 493-513, August.
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