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Existence of financial equilibria in a multiperiod stochastic economy

Author

Listed:
  • Laura Angeloni

    (Dipartmento di Matematica e Informatica - Universit`a debli Studi di Pergia)

  • Bernard Cornet

    (Department of economics, University of Kansas - KU - University of Kansas [Lawrence], CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

We consider the model of a stochastic financial exchange economy with finitely many periods. Time and uncertainty are represented by a finite event-tree D and consumers may have constraints on their portfolios. We provide a general existence result of financial equilibria, which allows to cover several important cases of financial structures in the literature with or without constraints on portfolios.

Suggested Citation

  • Laura Angeloni & Bernard Cornet, 2006. "Existence of financial equilibria in a multiperiod stochastic economy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00287671, HAL.
    • Handle: RePEc:hal:cesptp:hal-00287671
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    Cited by:

    1. Bernard Cornet & Abhishek Ranjan, 2012. "A remark on arbitrage free prices in multi-period economy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00707401, HAL.
    2. Seghir, Abdelkrim & Torres-Martínez, Juan Pablo, 2011. "On equilibrium existence with endogenous restricted financial participation," Journal of Mathematical Economics, Elsevier, vol. 47(1), pages 37-42, January.
    3. Jean-Marc Bonnisseau & Achis Chéry, 2023. "Continuity of marketable payoffs with re-trading," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(1), pages 31-53, January.
    4. Zaier Aouani & Bernard Cornet, 2017. "Eliminating useless portfolios in constrained financial economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(1), pages 159-190, January.
    5. 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.
    6. 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.
    7. Jean-Marc Bonnisseau & Achis Chery, 2013. "On the equivalence of financial structures with short-term assets," Documents de travail du Centre d'Economie de la Sorbonne 13079, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    8. Faias, Marta & Torres-Martínez, Juan Pablo, 2017. "Credit market segmentation, essentiality of commodities, and supermodularity," Journal of Mathematical Economics, Elsevier, vol. 70(C), pages 115-122.
    9. Jean-Marc Bonnisseau & Achis Chery, 2011. "On the rank of payoff matrices with long-term assets," Post-Print halshs-00659183, HAL.
    10. Cea-Echenique, Sebastián & Torres-Martínez, Juan Pablo, 2016. "Credit segmentation in general equilibrium," Journal of Mathematical Economics, Elsevier, vol. 62(C), pages 19-27.
    11. Michele Gori & Marina Pireddu & Antonio Villanacci, 2010. "Regularity and Pareto Improving on financial equilibria with endogenous borrowing restrictions," Working Papers - Mathematical Economics 2010-08, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, revised Aug 2012.
    12. Iraola, Miguel A. & Torres-Martínez, Juan Pablo, 2014. "Equilibrium in collateralized asset markets: Credit contractions and negative equity loans," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 113-122.
    13. Aouani, Zaier & Cornet, Bernard, 2009. "Existence of financial equilibria with restricted participation," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 772-786, December.
    14. Alain Chateauneuf & Bernard Cornet, 2022. "Correction to: Submodular financial markets with frictions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 745-746, April.
    15. Philippe Bich & Bernard Cornet, 2009. "Existence of pseudo-equilibria in a financial economy," Post-Print halshs-00426399, HAL.
    16. A. Jofré & R. T. Rockafellar & R. J-B. Wets, 2017. "General economic equilibrium with financial markets and retainability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(1), pages 309-345, January.

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