Incomplete Markets : "Financial Engineering" of Transverse Asset Structures
In a multiperiod economy with incomplete markets and assets that exhibit a payoff depending on price history, we show that one need not perturb back office and settlement feature of assets to get endowment generic existence of an equilibrium. We exhibit a class of assets -transverse assets - and use the backward induction pricing structure to show that perturbation of maturity payoffs provide enough leverage to ensure endowment generic existence of an equilibrium. As an application of this, we prove a conjecture by Magill and Quinzii that commodity forward contracts always lead to endowment generic existence of an equilibrium (even in the multiperiod case).
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|Date of creation:||1999|
|Date of revision:|
|Contact details of provider:|| Postal: France; Universite de Paris I - Pantheon- Sorbonne, 12 Place de Pantheon-75005 Paris, France|
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Web page: http://cermsem.univ-paris1.fr/
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