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Competitive Equilibrium with Incomplete Financial Markets

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Author Info
David Cass () (Department of Economics, University of Pennsylvania)

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Abstract

This is my classic paper, written in early 1984, concerning existence and optimality in general financial equilibrium with incomplete markets for nominal assets, just now being published in a special issue of the Journal of Mathematical Economics.

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File URL: http://economics.sas.upenn.edu/system/files/06-010.pdf
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Publisher Info
Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 06-010.

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Length: 30 pages
Date of creation: 02 Jun 2006
Date of revision:
Handle: RePEc:pen:papers:06-010

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Related research
Keywords: financial equilibrium; incomplete markets; Cass trick;

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Find related papers by JEL classification:
D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets

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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.:
  1. Grossman, Sanford J., 1977. "A characterization of the optimality of equilibrium in incomplete markets," Journal of Economic Theory, Elsevier, vol. 15(1), pages 1-15, June. [Downloadable!] (restricted)
  2. Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, vol. 2(2), pages 122-160, June. [Downloadable!] (restricted)
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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.)

  1. Paola Donati, 2003. "Indeterminacy of rational expectations equilibria in sequential financial markets," Working Paper Series 262, European Central Bank. [Downloadable!]
    Other versions:
  2. Jinhui H. Bai & Ingolf Schwarz, 2005. "Monetary Equilibria in a Cash-in-Advance Economy with Incomplete Financial Markets," JEPS Working Papers 05-005, JEPS. [Downloadable!]
    Other versions:
  3. John Geanakoplos & Heracles M. Polemarchakis, 1985. "Existence, Regularity, and Constrained Suboptimality of Competitive Allocations When the Asset Market Is Incomplete," Cowles Foundation Discussion Papers 764, Cowles Foundation, Yale University. [Downloadable!]
  4. William R. Zame, 1990. "Efficiency and the Role of Default When Security Markets are Incomplete," UCLA Economics Working Papers 585, UCLA Department of Economics. [Downloadable!]
    Other versions:
  5. Abdelkrim Seghir & Leila Triki & Stella Kanellopoulou, 2004. "On the survival and irreducibility assumptions for financial markets with nominal assets," Cahiers de la Maison des Sciences Economiques b04008, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
  6. Manuel Santos & Juan Pablo Rincon-Zapatero, . "Differentiability of the Value Function without Interiority Assumptions," Working Papers 0704, University of Miami, Department of Economics. [Downloadable!]
    Other versions:
  7. Laura Angeloni & Bernard Cornet, 2005. "Existence Of Financial Equilibria In A Multiperiod Stochastic Economy," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200506, University of Kansas, Department of Economics, revised Feb 2005. [Downloadable!]
  8. V.F. Martins-da-Rocha & L. Triki, 2005. "Equilibria in exchange economies with financial constraints: Beyond the Cass Trick," Microeconomics 0503013, EconWPA. [Downloadable!]
  9. John Geanakoplos & Andreu Mas-Colell, 1985. "Real Indeterminacy with Financial Assets," Cowles Foundation Discussion Papers 770R, Cowles Foundation, Yale University, revised Oct 1985. [Downloadable!]
  10. John Geanakoplos & Martin Shubik, 1989. "The Capital Asset Pricing Model as a General Equilibrium with Incomplete Markets," Cowles Foundation Discussion Papers 913, Cowles Foundation, Yale University. [Downloadable!]
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