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On the rank of payoff matrices with long-term assets

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  • Jean-Marc Bonnisseau

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Achis Chery

    (Université Quisqueya, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

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.

Suggested Citation

  • Jean-Marc Bonnisseau & Achis Chery, 2011. "On the rank of payoff matrices with long-term assets," Post-Print halshs-00659183, HAL.
    • Handle: RePEc:hal:journl:halshs-00659183
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00659183
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    References listed on IDEAS

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    1. 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.
    2. Aouani, Zaier & Cornet, Bernard, 2009. "Existence of financial equilibria with restricted participation," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 772-786, December.
    3. 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.
    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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    More about this item

    Keywords

    long-term assets; Marchés incomplets; équilibre financier; modèle à plusieurs périodes; actifs de long terme.; financial equilibrium; multi-period model; long-term assets.; Incomplete markets;
    All these keywords.

    JEL classification:

    • D5 - Microeconomics - - General Equilibrium and Disequilibrium
    • D4 - Microeconomics - - Market Structure, Pricing, and Design
    • G1 - Financial Economics - - General Financial Markets

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