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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
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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
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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
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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
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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
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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
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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
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Equilibrium Pricing in Incomplete Markets
Bizid, Abdelhamid; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2005
characterised by their final pay-offs. We deal with an incomplete market framework in a discrete time model and assume the existence …
Persistent link: https://www.econbiz.de/10010905222
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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
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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