This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and adapt their behavior according to experience based reinforcement learning. We investigate three different economic settings, a simple mean-variance asset pricing model, a...

This paper argues that the introduction of a short-sale constraint in the Arrow-Radner framework invalidates standard definitions of complete and incomplete markets. In this constrained set-up, two threshold values with familiar properties arise.<BR> The case of a zero short-sale bound set on some...

<I>Abstract</I><p> See document.<p>

Tucker's well-known combinatorial lemma states that for any given symmetric triangulation of the n-dimensional unit cube and for any integer labeling that assigns to each vertex of the triangulation a label from the set {1,2,...n,-1,-2,....-n} with the property that antipodal vertices on the...

In a standard general equilibrium model it is assumed that there are no price restictions and that prices adjust infinitely fast to their equilibrium values. In this paper the set of admissible prices is allowed to be an arbitrary convex set. For such an arbitrary set it cannot be guaranteed...

We examine linkages between aggregate household income, distribution of that income, and aggregate cross-country expenditure patterns. We are able to decompose income effects into international income dispersion effects (from variations in average income) and national income dispersion (income...

We study the existence problem of a zero point of a function defined on a finite set of elements of the integer lattice of the n-dimensional Euclidean space. It is assumed that the set is integrally convex, which implies that the convex hull of the set can be subdivided in simplices such that...

In this paper we present two general results on the existence of a discrete zero point of a function from the <I>n</I>-dimensional integer lattice Z<SUP><I>n</SUP></I> to the <I>n</I>-dimensional Euclidean space R<SUP><I>n</SUP></I>. Under two different boundary conditions, we give a constructive proof using a combinatorial argument based on a...</i></sup></i></i></sup></i>

In this paper an algorithm is proposed to find an integral solution of (nonlinear) complementarity problems. The algorithm starts with a nonnegative integral point and generates a unique sequence of adjacent integral simplices of varying dimension. Conditions are stated under which the algorithm...

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...