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Equilibria in a multi-period economy

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Abstract

We consider the model of a financial exchange economy with finitely many periods having financial restricted participation i.e., each agents portfolio choice is restricted to a closed convex set containing zero, as in Siconolfi [1989]. Time and uncertainty are represented by a finite event-tree. There is a market for physical commodities at any state today or in any date of future and financial transfers across time and across states are allowed by means of finitely many financial assets (nominal and numeraire assets). We prove a general existence result of equilibria for such a financial exchange economy in which agents may have non-ordered preferences

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  • Bernard Cornet & Abhishek Ranjan, 2013. "Equilibria in a multi-period economy," Documents de travail du Centre d'Economie de la Sorbonne 13021, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    • Handle: RePEc:mse:cesdoc:13021
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    Cited by:

    1. Bernard Cornet & Abhishek Ranjan, 2012. "A remark on arbitrage free prices in multi-period economy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00707401, HAL.
    2. repec:hal:pseose:halshs-00707401 is not listed on IDEAS

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    More about this item

    Keywords

    Multi-period economy; restricted participation; financial exchange economy; arbitrage free prices; equilibrium;
    All these keywords.

    JEL classification:

    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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