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On the existence of approximated equilibria in discontinuous economies

Bich, Philippe - Université Paris-Dauphine (Paris IX) - 2005

In this paper, we prove an existence theorem for approximated equilibria in a class of discontinuous economies. The … existence result is a direct consequence of a discontinuous extension of Brouwer’s fixed point Theorem (1912), and is a ….E.J., 1912. Über Abbildung von Mannigfaltigkeiten. Mathematische Annalen 71, 97–115.] As a by-product, we get the first existence …

Persistent link: https://www.econbiz.de/10011072233

On the orientability of the asset equilibrium manifold

Bich, Philippe - Université Paris-Dauphine (Paris IX) - 2006

This paper addresses partly an open question raised in the Handbook of Mathematical Economics about the orientability of the pseudo-equilibrium manifold in the basic two-period General Equilibrium with Incomplete Markets (GEI) model. For a broad class of explicit asset structures, it is proved...

Persistent link: https://www.econbiz.de/10011072967

Martingales and arbitrage in securities markets with transaction costs

Kallal, Hedi; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 1995

absence of arbitrage is equivalent to the existence of at least an equivalent probability measure that transforms some process …

Persistent link: https://www.econbiz.de/10010706980

The Identification of Preferences from Equilibrium Prices under Uncertainty

Kubler, Félix; Chiappori, Pierre-André; Ekeland, Ivar; … - Université Paris-Dauphine (Paris IX) - 2002

The competitive equilibrium correspondence, which associates equilibrium prices of commodities and assets with allocations of endowments, identifies the preferences and beliefs of individuals under uncertainty; this is the case even if the asset market is incomplete.

Persistent link: https://www.econbiz.de/10010783745

Equilibria in exchange economies with financial constraints: Beyond the Cass Trick

Triki, Leila; Martins-da-Rocha, Victor-Filipe - Université Paris-Dauphine (Paris IX) - 2004

We consider an exchange economy under incomplete financial markets with purely financial securities and finitely many agents. When portfolios are not constrained Cass [4], Duﬃe [7] and Florenzano–Gourdel [12] proved that arbitrage-free security prices fully characterize equilibrium security...

Persistent link: https://www.econbiz.de/10011074101

CRRA Utility Maximization under Dynamic Risk Constraints

Moreno-Bromberg, Santiago; Pirvu, Traian A.; … - Université Paris-Dauphine (Paris IX) - 2013

This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete; furthermore, financial assets are modeled by Itô processes....

Persistent link: https://www.econbiz.de/10011171547

Convergence of the equilibrium prices in a family of financial models

Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2003

In this paper, we consider a family of complete or incomplete Financial models such that the price processes of the Financial assets converge in distribution to those in a limit model. Different authors pointed out that we do not have necessarily convergence of the arbitrage pricing intervals in...

Persistent link: https://www.econbiz.de/10010861455

Disaggregation of excess demand functions in incomplete markets

Chiappori, Pierre-André; Ekeland, Ivar - Université Paris-Dauphine (Paris IX) - 1999

We are interested in general equilibrium incomplete markets, where the number of consumers is N, the number of goods is L, and the dimension of the space of admissible trades is K (the case of complete markets being then K=(L−1)). We prove that, if N≥K, any non-vanishing analytic function...

Persistent link: https://www.econbiz.de/10011071967

Optimal risk sharing with background risk

Scarsini, Marco; Dana, Rose-Anne - Université Paris-Dauphine (Paris IX) - 2005

This paper examines qualitative properties of efficient insurance contracts in the presence of background risk. In order to get results for all strictly risk-averse expected utility maximizers, the concept of “stochastic increasingness” is used. Different assumptions on the stochastic...

Persistent link: https://www.econbiz.de/10011071992

Dual Formulation of the Utility Maximization Problem : the case of Nonsmooth Utility

Zhegal, Amina; Touzi, Nizar; Bouchard, Bruno - Université Paris-Dauphine (Paris IX) - 2004

We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we allow for nonsmooth utility functions, so as to include the...

Persistent link: https://www.econbiz.de/10011166556

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