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On the existence of approximated equilibria in discontinuous economies.

Bich, Philippe - Université Paris-Dauphine - 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/10009018424

On the Properties of General Equilibrium with Default in Economies with Incomplete Markets

Rodríguez, Eduardo A. - In: Latin American Journal of Economics-formerly Cuadernos … 48 (2011) 1, pp. 39-64

In this paper we study the properties of general equilibrium with default in economies with incomplete markets. It is noted that, in equilibrium, an agent makes two types of comparisons when deciding whether to participate in the credit market: as a lender and as a borrower. As a consequence,...

Persistent link: https://www.econbiz.de/10009024532

The perfect foresights' assumption revisited : (I) the existence of equilibrium with multiple price expectations.

Boisdeffre, Lionel de - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007

Our earlier papers [2,3,4,5,6] had extended to asymmetric information the classical existence theorems of general … existence of such equilibrium is still characterized by the no-arbitrage condition of finance. This result, which extends our … earlier theorems, shows that private information and uncertain anticipations would not affect existence but the value of …

Persistent link: https://www.econbiz.de/10005670877

A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints

Milne, Frank; Neave, Edwin - Economics Department, Queen's University - 2003

regions of no trade and to bid-ask spreads: their existence frustrate the derivation of standard results in arbitrage …

Persistent link: https://www.econbiz.de/10005653103

Ramsey Waits: A Computational Study on General Equilibrium Pricing of Derivative Securities

Thijssen, Jacco - Department of Economics and Related Studies, University … - 2007

This paper analyses the accuracy of replicating portfolio methods in predicting asset prices. In a two-period, general equilibrium model with incomplete financial markets and heterogeneous agents, a computational study is conducted under various distributional assumptions. We focus on the price...

Persistent link: https://www.econbiz.de/10005695901

Computable general equilibrium with financial markets

Kubler, Felix - In: Economic Theory 18 (2001) 1, pp. 73-96

There are a wide variety of theoretical general equilibrium models with incomplete security markets. In this paper we give a general recipe for using homotopy algorithm to compute equilibria in these models. In many models, taxes, transaction-costs or other market frictions introduce the...

Persistent link: https://www.econbiz.de/10005155368

Constrained inefficiency in GEI: a geometric argument

Tirelli, Mario - Dipartimento di Economia, Università degli Studi di Roma 3 - 2008

In this paper we use global analysis to study the welfare properties of general equilibrium economies with incomplete markets (GEI). Our main result is to show that constrained Pareto optimal equilibria are contained in a submanifold of the equilibrium set. This result is explicitly derived for...

Persistent link: https://www.econbiz.de/10005449333

On the Range of the Risk-Free Interest Rate in Incomplete Markets

Hara, Chiaki; Kajii, Atsushi - Institute of Economic Research, Kyoto University - 2003

In a model of a two-period exchange economy under uncertainty, we find both upper and lower bounds for the risk free interest rate when the agents' utility functions exhibit constant absolute risk aversion. These bounds are independent of the degree of market incompleteness, and so in particular...

Persistent link: https://www.econbiz.de/10005570196

Computing Equilibria in Finance Economies

Herings, P.J.J.; Kubler, F. - EconWPA - 2001

Persistent link: https://www.econbiz.de/10005125623

A general equilibrium financial asset economy with transaction costs and trading constraints

Milne, Frank; Neave, Edwin - 2003

regions of no trade and to bid-ask spreads: their existence frustrate the derivation of standard results in arbitrage …

Persistent link: https://www.econbiz.de/10010290443