Equilibrium analysis in financial markets with countably many securities
An F-cone is a pointed and generating convex cone of a real vector space that is the union of a countable family of finite dimensional polyedral convex cones such that each of which is an extremel subset of the subsequent one. In this paper, we study securities markets with countably many securities and arbitrary finite portfolio holdings. Moreover, we assume that each investor is constrained to have a non-negative end-of-period wealth. If, under the portfolio dominance order, the positive cone of the portfolio space is an F-cone, then Edgeworth allocations and non-trivial quasi-equilibria exist. This result extend the case where, as in Aliprantis et al.[JME 30 (1998a) 347-366], the positive cone is a Yudin cone.
|Date of creation:||Sep 2004|
|Date of revision:|
|Publication status:||Published in Journal of Mathematical Economics, Elsevier, 2004, 40 (6), pp.683-699. <10.1016/j.jmateco.2003.06.003>|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00086810|
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