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Asset market equilibrium with short-selling and differential information

  • Wassim Daher

    ()

  • V. Martins-da-Rocha

    ()

  • Yiannis Vailakis

    ()

We introduce differential information in the asset market model studied by Cheng (1991), Dana and Le Van (1996)and Le Van and Truong Xuan (2001). An equilibrium existence result is proven assuming that the economy's information structure satisfies the conditional independency property.

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File URL: http://hdl.handle.net/10.1007/s00199-006-0131-5
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Article provided by Springer & Society for the Advancement of Economic Theory (SAET) in its journal Economic Theory.

Volume (Year): 32 (2007)
Issue (Month): 3 (September)
Pages: 425-446

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Handle: RePEc:spr:joecth:v:32:y:2007:i:3:p:425-446
DOI: 10.1007/s00199-006-0131-5
Contact details of provider: Web page: http://www.springer.com

Web page: http://saet.uiowa.edu/

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  1. Nizar Allouch & Monique Florenzano, 2004. "Edgeworth and Walras equilibria of an arbitrage-free exchange economy," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 23(2), pages 353-370, January.
  2. Monique Florenzano, 2007. "General equilibrium," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00250167, HAL.
  3. Dana, R. A. & Le Van, C., 1996. "Asset Equilibria in Lp spaces with complete markets: A duality approach," Journal of Mathematical Economics, Elsevier, vol. 25(3), pages 263-280.
  4. Lars Tyge Nielsen, 1989. "Asset Market Equilibrium with Short-Selling," Review of Economic Studies, Oxford University Press, vol. 56(3), pages 467-473.
  5. Grandmont, Jean-Michel, 1993. "Temporary general equilibrium theory," Handbook of Mathematical Economics, in: K. J. Arrow & M.D. Intriligator (ed.), Handbook of Mathematical Economics, edition 4, volume 2, chapter 19, pages 879-922 Elsevier.
  6. Dana, R.-A. & Le Van, C. & Magnien, F., 1999. "On the Different Notions of Arbitrage and Existence of Equilibrium," Papiers d'Economie Mathématique et Applications 1999.34, Université Panthéon-Sorbonne (Paris 1).
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  8. Kreps, David M., 1981. "Arbitrage and equilibrium in economies with infinitely many commodities," Journal of Mathematical Economics, Elsevier, vol. 8(1), pages 15-35, March.
  9. Brown, Donald & Werner, Jan, 1993. "Arbitrage and Existence of Equilibrium in Infinite Asset Markets," Working Papers 825, California Institute of Technology, Division of the Humanities and Social Sciences.
  10. Duffie, J Darrell & Huang, Chi-fu, 1985. "Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities," Econometrica, Econometric Society, vol. 53(6), pages 1337-56, November.
  11. Page, Frank Jr., 1987. "On equilibrium in Hart's securities exchange model," Journal of Economic Theory, Elsevier, vol. 41(2), pages 392-404, April.
  12. Werner, Jan, 1987. "Arbitrage and the Existence of Competitive Equilibrium," Econometrica, Econometric Society, vol. 55(6), pages 1403-18, November.
  13. Le Van, Cuong & Truong Xuan, Duc Ha, 2001. "Asset market equilibrium in Lp spaces with separable utilities," Journal of Mathematical Economics, Elsevier, vol. 36(3), pages 241-254, December.
  14. Carlos Hervés-Beloso & Emma Moreno-García & Nicholas Yannelis, 2005. "Characterization and incentive compatibility of Walrasian expectations equilibrium in infinite dimensional commodity spaces," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 26(2), pages 361-381, 08.
  15. Koutsougeras, Leonidas C & Yannelis, Nicholas C, 1993. "Incentive Compatibility and Information Superiority of the Core of an Economy with Differential Information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 3(2), pages 195-216, April.
  16. Allouch, Nizar & Le Van, Cuong & Page, Jr. Frank H., 2001. "The geometry of arbitrage and the existence of competitive equilibrium," The Warwick Economics Research Paper Series (TWERPS) 598, University of Warwick, Department of Economics.
  17. Wassim Daher & V. Filipe Martins-Da-Rocha & Yiannis Vailakis, 2005. "Asset market equilibrium with short-selling and differential information," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00173787, HAL.
  18. Cheng, Harrison H. C., 1991. "Asset market equilibrium in infinite dimensional complete markets," Journal of Mathematical Economics, Elsevier, vol. 20(1), pages 137-152.
  19. Green, Jerry R, 1973. "Temporary General Equilibrium in a Sequential Trading Model with Spot and Futures Transactions," Econometrica, Econometric Society, vol. 41(6), pages 1103-23, November.
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  21. Herves-Beloso, Carlos & Moreno-Garcia, Emma & Yannelis, Nicholas C., 2005. "An equivalence theorem for a differential information economy," Journal of Mathematical Economics, Elsevier, vol. 41(7), pages 844-856, November.
  22. Radner, Roy, 1979. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Econometrica, Econometric Society, vol. 47(3), pages 655-78, May.
  23. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  24. Bewley, Truman F., 1972. "Existence of equilibria in economies with infinitely many commodities," Journal of Economic Theory, Elsevier, vol. 4(3), pages 514-540, June.
  25. Aliprantis, Charalambos D., 1997. "Separable utility functions," Journal of Mathematical Economics, Elsevier, vol. 28(4), pages 415-444, November.
  26. Ezra Einy & Diego Moreno & Benyamin Shitovitz, 2001. "Competitive and core allocations in large economies with differential information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 18(2), pages 321-332.
  27. Hammond, Peter J., 1983. "Overlapping expectations and Hart's conditions for equilibrium in a securities model," Journal of Economic Theory, Elsevier, vol. 31(1), pages 170-175, October.
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