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Equilibrium in incomplete markets: II : Generic existence in stochastic economies

Citations

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Cited by:

  1. John Geanakoplos, 1989. "An Introduction to General Equilibrium with Incomplete Asset Markets," Cowles Foundation Discussion Papers 919, Cowles Foundation for Research in Economics, Yale University.
  2. Bernard Cornet & Abhishek Ranjan, 2013. "Equilibria in a multi-period economy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00801402, HAL.
  3. 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.
  4. Alessandro, CITANNA & SCHMEDDERS, Karl, 2002. "Controlling price volatility through financial innovation," HEC Research Papers Series 749, HEC Paris.
  5. Aouani, Zaier & Cornet, Bernard, 2011. "Reduced equivalent form of a financial structure," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 318-327.
  6. Bernard Dumas & Andrew Lyasoff, 2012. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," Journal of Finance, American Finance Association, vol. 67(5), pages 1897-1941, October.
  7. Bernard Cornet & Ramu Gopalan, 2010. "Arbitrage and equilibrium with portfolio constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 227-252, October.
  8. John Geanakoplos & William Zame, 2014. "Collateral equilibrium, I: a basic framework," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(3), pages 443-492, August.
  9. Gaël Giraud & Céline Rochon, 2010. "Transition to Equilibrium in International Trades," Documents de travail du Centre d'Economie de la Sorbonne 10012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  10. Fadina, Tolulope & Herzberg, Frederik, 2015. "Hyperfinite construction of G-expectation," Center for Mathematical Economics Working Papers 540, Center for Mathematical Economics, Bielefeld University.
  11. Dong Chul Won, 2019. "A New Characterization of Equilibrium in a Multi-period Finance Economy: A Computational Viewpoint," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 367-396, January.
  12. Lionel De Boisdeffre, 2017. "Financial Equilibrium with differential Information: a Theorem of generic Existence," Working Papers hal-01871571, HAL.
  13. Alexander S. Sangare, 2005. "Efficience des marchés : un siècle après Bachelier," Revue d'Économie Financière, Programme National Persée, vol. 81(4), pages 107-132.
  14. Ana Fostel & John Geanakoplos, 2013. "Financial Innovation, Collateral and Investment," Cowles Foundation Discussion Papers 1903, Cowles Foundation for Research in Economics, Yale University.
  15. Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
  16. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc.
  17. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach," Operations Research, INFORMS, vol. 49(3), pages 372-397, June.
  18. Lionel De Boisdeffre, 2017. "Financial Equilibrium with differential Information: a Theorem of generic Existence," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01871571, HAL.
  19. Levine, David K., 1989. "Infinite horizon equilibrium with incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 18(4), pages 357-376, September.
  20. Allen, Franklin & Gale, Douglas, 2000. "Optimal currency crises," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 53(1), pages 177-230, December.
  21. Lionel De Boisdeffre, 2017. "Financial Equilibrium with differential Information: a Theorem of generic Existence," Working papers of CATT hal-01871571, HAL.
  22. Aouani, Zaier & Cornet, Bernard, 2009. "Existence of financial equilibria with restricted participation," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 772-786, December.
  23. Bertsimas, Dimitris. & Kogan, Leonid, 1974- & Lo, Andrew W., 1997. "Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach," Working papers WP 3973-97., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  24. Claudio Mattalia, 2003. "Existence of solutions and asset pricing bubbles in general equilibrium models," ICER Working Papers - Applied Mathematics Series 02-2003, ICER - International Centre for Economic Research.
  25. Alessandro, CITANNA, 1999. "Financial Innovation and Price Volatility," HEC Research Papers Series 685, HEC Paris.
  26. Bernard Cornet & Abhishek Ranjan, 2013. "Existence of equilibria via quasi-equilibria," Documents de travail du Centre d'Economie de la Sorbonne 13020, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  27. Lionel DE BOISDEFFRE, 2017. "Financial Equilibrium with differential Information: a Theorem of generic Existence," Working Papers 2016-2017_12, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Aug 2017.
  28. Stahn, Hubert, 1998. "On monopolistic equilibria with incomplete markets: the case of an exchange economy," Journal of Mathematical Economics, Elsevier, vol. 29(1), pages 83-107, January.
  29. Gaël Giraud, 2007. "Walrasian non-tatonnement with incomplete and imperfectly competitive markets," Documents de travail du Centre d'Economie de la Sorbonne b07021, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  30. Anderson, Robert M. & Raimondo, Roberto C., 2007. "Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets," Department of Economics, Working Paper Series qt0zq6v5gd, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  31. Ana Fostel & John Geanakoplos, 2016. "Financial Innovation, Collateral, and Investment," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(1), pages 242-284, January.
  32. Levine, David K. & Zame, William R., 1996. "Debt constraints and equilibrium in infinite horizon economies with incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 103-131.
  33. 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.
  34. Orrillo, Jaime, 2001. "Default and exogenous collateral in incomplete markets with a continuum of states," Journal of Mathematical Economics, Elsevier, vol. 35(1), pages 151-165, February.
  35. Willems, Bert & Morbee, Joris, 2010. "Market completeness: How options affect hedging and investments in the electricity sector," Energy Economics, Elsevier, vol. 32(4), pages 786-795, July.
  36. Fratini, Saverio M. & Levrero, Enrico Sergio & Ravagnani, Fabio, 2016. "Price expectations in neo-Walrasian equilibrium models: an overview," MPRA Paper 69515, University Library of Munich, Germany.
  37. Katsushi Nakajima, 2022. "Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield," Annals of Finance, Springer, vol. 18(1), pages 35-80, March.
  38. Orrilo, Jaime, 2006. "Another Proof of the Existence of GEI Equilibrium with Default and Exogenous Collateral," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(1), May.
  39. Lionel de Boisdeffre, 2018. "Circumventing the Hart Puzzle," Documents de travail du Centre d'Economie de la Sorbonne 18027, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  40. Bottazzi, Jean-Marc, 1995. "Existence of equilibria with incomplete markets: The case of smooth returns," Journal of Mathematical Economics, Elsevier, vol. 24(1), pages 59-72.
  41. Ana Fostel & John Geanakoplos, 2013. "Financial Innovation, Collateral and Investment," Levine's Working Paper Archive 786969000000000750, David K. Levine.
  42. Lionel de Boisdeffre, 2017. "Financial equilibrium with differential information: An existence theorem," Post-Print halshs-01599385, HAL.
  43. Ana Fostel & John Geanakoplos, 2013. "Financial Innovation, Collateral and Investment," Cowles Foundation Discussion Papers 1903R, Cowles Foundation for Research in Economics, Yale University, revised Mar 2015.
  44. Lionel de Boisdeffre, 2017. "Financial equilibrium with differential information: An existence theorem," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01599385, HAL.
  45. Lionel de Boisdeffre, 2017. "Financial equilibrium with differential information:An existence theorem," Documents de travail du Centre d'Economie de la Sorbonne 17038, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  46. Chenghu Ma & Jiankang Zhang, 2013. "p-Weakly constrained Pareto efficiency and aggregation in incomplete markets," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 41(3), pages 605-623, September.
  47. Gaël Giraud, 2004. "Walrasian non-tâtonnement with incomplete and imperfect markets," Cahiers de la Maison des Sciences Economiques b04119, Université Panthéon-Sorbonne (Paris 1).
  48. Ana Fostel & John Geanakoplos, 2013. "Financial Innovation, Collateral and Investment," Working Papers 2013-18, The George Washington University, Institute for International Economic Policy.
  49. Lionel De Boisdeffre, 2018. "Circumventing the Hart Puzzle," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01903586, HAL.
  50. A. Gamba & P. Pellizzari, 1999. "Utility based pricing of contingent claims," Finance 9902003, University Library of Munich, Germany, revised 14 Oct 2002.
  51. Tarun Sabarwal, 2004. "On the Allocative Efficiency of Competitive Prices in Economies with Incomplete Markets," GE, Growth, Math methods 0410006, University Library of Munich, Germany.
  52. Bernard Dumas & Pascal Maenhout, 2002. "A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium," Levine's Working Paper Archive 391749000000000523, David K. Levine.
  53. Lionel De Boisdeffre, 2018. "Circumventing the Hart Puzzle," Post-Print halshs-01903586, HAL.
  54. V. Martins-da-Rocha & Yiannis Vailakis, 2010. "Financial markets with endogenous transaction costs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 65-97, October.
  55. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
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