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On the rank of payoff matrices with long-term assets

  • Jean-Marc Bonnisseau

    ()

    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris)

  • Achis Chery

    ()

    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, Université Quisqueya - Faculté des Sciences, de Génie et d'Architecture (FSGA))

We consider a stochastic financial exchange economy with a finite date-event tree representing time and uncertainty and a nominal financial structure with possibly long-term assets. We exhibit a sufficient condition under which the payoff matrix and the full payoff matrix have the same rank. This generalizes previous results of Angeloni-Cornet and Magill-Quinzii involving only short-term assets. We then derive existence results with assumptions only based on the fundamentals of the economy.

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00659183.

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Date of creation: Dec 2011
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Handle: RePEc:hal:cesptp:halshs-00659183
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00659183
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  1. Bernard Cornet & Ramu Gopalan, 2009. "Arbitrage and Equilibrium with Portfolio Constraints," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00441873, HAL.
  2. Laura Angeloni & Bernard Cornet, 2005. "Existence Of Financial Equilibria In A Multiperiod Stochastic Economy," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200506, University of Kansas, Department of Economics, revised Feb 2005.
  3. Zaier Aouani & Bernard Cornet, 2009. "Existence of financial equilibria with restricted participation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00426441, HAL.
  4. Magill, Michael & Shafer, Wayne, 1991. "Incomplete markets," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 30, pages 1523-1614 Elsevier.
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