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Existence Of Financial Equilibria In A Multiperiod Stochastic Economy

  • Laura Angeloni

    (Dipartimento di Matematica e Informatica, Universita degli Studi di Perugia)

  • Bernard Cornet

    (Department of Economics, The University of Kansas)

We consider the model of a stochastic financial exchange economy where time and uncertainty are represented by a finite event-tree of length T. We provide a general existence result of financial equilibria, which allows to cover several important cases of financial structures considered in the literature, such as nominal and numeraire assets, when consumers may have constraints on their portfolios.

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File URL: http://www.ku.edu/~bgju/2005Papers/200506.pdf
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Paper provided by University of Kansas, Department of Economics in its series WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS with number 200506.

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Length: 9 pages
Date of creation: Feb 2005
Date of revision: Feb 2005
Handle: RePEc:kan:wpaper:200506
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  8. Magill, Michael & Quinzii, Martine, 1996. "Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 133-170.
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  16. Jaime Jose Orrillo Carhuajulca, 2000. "Default and Exogenous Collateral in Incomplete Markets with a Continuum of States," Econometric Society World Congress 2000 Contributed Papers 1860, Econometric Society.
  17. Cass, David & Siconolfi, Paolo & Villanacci, Antonio, 2001. "Generic regularity of competitive equilibria with restricted participation," Journal of Mathematical Economics, Elsevier, vol. 36(1), pages 61-76, September.
  18. Cuoco, Domenico, 1997. "Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income," Journal of Economic Theory, Elsevier, vol. 72(1), pages 33-73, January.
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