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Stability of marketable payoffs with long-term assets

Author

Listed:
  • 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 nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Achis Chery

    (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 nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, CREGED - Centre de Recherche en Gestion et Economie du Développement - Université Quisqueya)

Abstract

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.

Suggested Citation

  • Jean-Marc Bonnisseau & Achis Chery, 2014. "Stability of marketable payoffs with long-term assets," Post-Print halshs-01056203, HAL.
    • Handle: RePEc:hal:journl:halshs-01056203
    DOI: 10.1007/s10436-014-0251-z
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    Cited by:

    1. Jean-Marc Bonnisseau & Achis Chery, 2018. "Stability of marketable payoffs with re-trading," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01896592, HAL.
    2. 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.
    3. Jean-Marc Bonnisseau & Achis Chery, 2014. "On the equivalence of financial structures with long-term assets," Post-Print hal-01130785, HAL.

    More about this item

    Keywords

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    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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