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Asset market equilibrium with short-selling and differential information

Author Info

Listed author(s):
  • Wassin Daher

    ()

    (CERMSEM)

  • V. Filipe Martins-da-Rocha

    ()

    (CEREMADE)

  • Yiannis Vailakis

    ()

    (CERMSEM)

Abstract

We introduce differential information in the asset market model studied by Cheng (1991), Dana and Le Van (1996)and Le Van and Truong Xuan (2001). An equilibrium existence result is proven assuming that the economy's information structure satisfies the conditional independency property.

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File URL: ftp://mse.univ-paris1.fr/pub/mse/cahiers2005/B05098.pdf
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Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Cahiers de la Maison des Sciences Economiques with number b05098.

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Length: 27 pages
Date of creation: Dec 2005
Handle: RePEc:mse:wpsorb:b05098
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Keywords: Asset market; differential information; competitive equilibrium.;

Other versions of this item:

Find related papers by JEL classification:
  • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
  • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
  • D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies

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  1. Darrell Duffie & Chi-Fu Huang, 2005. "Implementing Arrow-Debreu Equilibria By Continuous Trading Of Few Long-Lived Securities," World Scientific Book Chapters,in: Theory Of Valuation, chapter 4, pages 97-127 World Scientific Publishing Co. Pte. Ltd..
  2. Allouch, N. & Florenzano, M., 2000. "Edgeworth and Walras Equilibria of an Arbitrage-Free Exchange Economy," Papiers d'Economie Mathématique et Applications 2000.119, Université Panthéon-Sorbonne (Paris 1).
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  6. Le Van, Cuong & Truong Xuan, Duc Ha, 2001. "Asset market equilibrium in Lp spaces with separable utilities," Journal of Mathematical Economics, Elsevier, vol. 36(3), pages 241-254, December.
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  9. Wassim Daher & V. Martins-da-Rocha & Yiannis Vailakis, 2007. "Asset market equilibrium with short-selling and differential information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(3), pages 425-446, September.
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  21. Herves-Beloso, Carlos & Moreno-Garcia, Emma & Yannelis, Nicholas C., 2005. "An equivalence theorem for a differential information economy," Journal of Mathematical Economics, Elsevier, vol. 41(7), pages 844-856, November.
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  27. repec:dau:papers:123456789/6228 is not listed on IDEAS
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Cited by:

  1. João Correia-da-Silva, 2015. "Two-period economies with price-contingent deliveries," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 59(3), pages 509-525, August.
  2. Ha-Huy, Thai & Le Van, Cuong & Nguyen, Manh-Hung, 2016. "Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities," Mathematical Social Sciences, Elsevier, vol. 79(C), pages 30-39.
  3. João Correia-da-Silva & Carlos Hervés-Beloso, 2009. "Prudent expectations equilibrium in economies with uncertain delivery," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 39(1), pages 67-92, April.
  4. repec:dau:papers:123456789/2344 is not listed on IDEAS
  5. Martins-da-Rocha, Victor Filipe & Angeloni, Laura, 2008. "Large economies with differential information but without free disposal," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 671, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  6. Carlos Hervés-Beloso & V. Martins-da-Rocha & Paulo Monteiro, 2009. "Equilibrium theory with asymmetric information and infinitely many states," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 38(2), pages 295-320, February.
  7. Guadalupe Fugarolas-Alvarez-Ude & Carlos Hervés-Beloso & Emma Moreno-García & Juan Torres-Martínez, 2009. "A market game approach to differential information economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 38(2), pages 321-330, February.
  8. Wassim Daher & V. Martins-da-Rocha & Yiannis Vailakis, 2007. "Asset market equilibrium with short-selling and differential information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(3), pages 425-446, September.
  9. Marta Faias & Carlos Hervés-Beloso & Emma Moreno-García, 2011. "Equilibrium price formation in markets with differentially informed agents," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(1), pages 205-218, September.
  10. Marialaura Pesce, 2010. "On mixed markets with asymmetric information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 23-53, October.
  11. Laura Angeloni & V. Martins-da-Rocha, 2009. "Large economies with differential information and without free disposal," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 38(2), pages 263-286, February.
  12. Angeloni, Laura & Martins-da-Rocha, Victor Filipe, 2007. "Contract enforcement and incentive compatibility in large economies with differential information: the role of exact feasibility," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 647, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  13. Raad, R., 2012. "Existence of an equilibrium for infinite horizon economies with and without complete information," Journal of Mathematical Economics, Elsevier, vol. 48(4), pages 247-262.

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