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Stability of marketable payoffs 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, CREGED - Centre de Recherche en Gestion et Economie du Développement)

We consider a stochastic financial exchange economy with a finite date-event tree representing time and uncertainty and a financial structure with possibly long-term assets. We exhibit a sufficient condition under which the set of marketable payoffs depends continuously on the arbitrage free asset prices. This generalizes previous results of Angeloni-Cornet and Magill-Quinzii involving only short-term assets. We also show that, under the same condition, the useless portfolios do not depend on the arbitrage free asset prices. We then provide an existence result of financial equilibrium for long term nominal assets for any given state prices with assumptions only on the fundamental datas 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-00917638.

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Date of creation: Sep 2013
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Handle: RePEc:hal:cesptp:halshs-00917638
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00917638
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  1. Bernard Cornet & Ramu Gopalan, 2010. "Arbitrage and equilibrium with portfolio constraints," Economic Theory, Springer, vol. 45(1), pages 227-252, October.
  2. Zaier Aouani & Bernard Cornet, 2009. "Existence of financial equilibria with restricted participation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00426441, HAL.
  3. Bernard Cornet & Abhishek Ranjan, 2012. "A remark on arbitrage free prices in multi-period economy," Documents de travail du Centre d'Economie de la Sorbonne 12035, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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