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Existence of Equilibrium in Incomplete Markets with Non-Ordered Preferences

Author

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  • Erkan Yalcin

    (Yeditepe University)

Abstract

In this paper we extend the results of recent studies on the existence of equilibrium in finite dimensional asset markets for both bounded and unbounded economies. We do not assume that the individual's preferences are complete or transitive. Our existence theorems for asset markets allow for short selling. We shall also show that the equilibrium achieves a constrained core within the same framework.

Suggested Citation

  • Erkan Yalcin, 2002. "Existence of Equilibrium in Incomplete Markets with Non-Ordered Preferences," GE, Growth, Math methods 0204002, EconWPA.
  • Handle: RePEc:wpa:wuwpge:0204002
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    References listed on IDEAS

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    1. Kelsey David & Milne Frank, 1995. "The Arbitrage Pricing Theorem with Non-expected Utility Preferences," Journal of Economic Theory, Elsevier, vol. 65(2), pages 557-574, April.
    2. Haller, Hans, 1991. "Corporate Production and Shareholder Cooperation under Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(4), pages 823-842, November.
    3. Wooders, M., 1994. "The Partnered Core of an Economy," UFAE and IAE Working Papers 279.94, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    4. Kelsey, David & Yalcin, Erkan, 2007. "The arbitrage pricing theorem with incomplete preferences," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 90-105, July.
    5. Shafer, Wayne & Sonnenschein, Hugo, 1975. "Equilibrium in abstract economies without ordered preferences," Journal of Mathematical Economics, Elsevier, vol. 2(3), pages 345-348, December.
    6. Shafer, Wayne J., 1976. "Equilibrium in economies without ordered preferences or free disposal," Journal of Mathematical Economics, Elsevier, vol. 3(2), pages 135-137, July.
    7. Bettzuge, Marc Oliver, 1998. "An extension of a theorem by Mitjushin and Polterovich to incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 30(3), pages 285-300, October.
    8. Werner, Jan, 1987. "Arbitrage and the Existence of Competitive Equilibrium," Econometrica, Econometric Society, vol. 55(6), pages 1403-1418, November.
    9. Milne, Frank, 1976. "Default Risk in a General Equilibrium Asset Economy with Incomplete Markets," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 17(3), pages 613-625, October.
    10. Border, Kim C, 1984. "A Core Existence Theorem for Games without Ordered Preferences," Econometrica, Econometric Society, vol. 52(6), pages 1537-1542, November.
    11. Duffie, Darrell & Shafer, Wayne, 1985. "Equilibrium in incomplete markets: I : A basic model of generic existence," Journal of Mathematical Economics, Elsevier, vol. 14(3), pages 285-300, June.
    12. Polterovich, Victor & Mityushin, Leonid, 1978. "Criteria for Monotonicity of Demand Functions," MPRA Paper 20097, University Library of Munich, Germany.
    13. Lars Tyge Nielsen, 1989. "Asset Market Equilibrium with Short-Selling," Review of Economic Studies, Oxford University Press, vol. 56(3), pages 467-473.
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    More about this item

    Keywords

    Equilibrium Existence; Incomplete Preferences; Incomplete Markets; Constrained Core;

    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
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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