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Existence of financial equilibria with restricted participation
Cornet, Bernard; Aouani, Zaier - Department of Economics, University of Kansas - 2009
We consider a two-date model of a financial exchange economy with finitely many agents having nonordered preferences and portfolio constraints. There is a market for physical commodities at any state today or tomorrow and financial transfers across time and across states are allowed by means of...
Persistent link: https://www.econbiz.de/10008509095
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Existence of financial equilibria with restricted participation
Aouani, Zaier; Cornet, Bernard - Faculty of Economics and Business, Tbilisi State University - 2009
We consider a two-date model of a financial exchange economy with finitely many agents having nonordered preferences and portfolio constraints. There is a market for physical commodities at any state today or tomorrow and financial transfers across time and across states are allowed by means of...
Persistent link: https://www.econbiz.de/10008559285
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Reduced equivalent form of a financial structure
Aouani, Zaier; Cornet, Bernard - In: Journal of Mathematical Economics 47 (2011) 3, pp. 318-327
portfolio allocations is bounded. Building upon the equilibrium existence result for reduced financial economies (E,F′) (Aouani …
Persistent link: https://www.econbiz.de/10011065378
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Equilibria in a multi-period economy.
Cornet, Bernard; Ranjan, Abhishek - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2013
We consider the model of a financial exchange economy with finitely many periods having financial restricted participation i.e., each agents portfolio choice is restricted to a closed convex set containing zero, as in Siconolfi [1989]. Time and uncertainty are represented by a finite event-tree....
Persistent link: https://www.econbiz.de/10010617541
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Existence of financial equilibria with restricted participation.
Aouani, Zaier; Cornet, Bernard - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009
We consider a two-date model of a financial exchange economy with finitely many agents having nonordered preferences and portfolio constraints. There is a market for physical commodities at any state today or tomorrow and financial transfers across time and across states are allowed by means of...
Persistent link: https://www.econbiz.de/10008622062
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Existence of equilibria via quasi-equilibria
Cornet, Bernard; Ranjan, Abhishek - HAL - 2013
general existence result of equilibrium via the existence of quasi-equilibrium, in a financial exchange economy for which …
Persistent link: https://www.econbiz.de/10010635186
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Equilibrium pricing in incomplete markets under translation invariant preferences
Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; … - 2011
We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in … the financial market we show that a one-fund theorem holds and give an explicit expression for the equilibrium pricing … kernel. If the underlying noise is generated by finitely many Bernoulli random walks, the equilibrium dynamics can be …
Persistent link: https://www.econbiz.de/10009379444
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Continuous equilibrium under base preferences and attainable initial endowments
Horst, Ulrich; Kupper, Michael; Macrina, Andrea; … - 2011
We consider a full equilibrium model in continuous time comprising a finite number of agents and tradable securities … equilibrium exists and the agents' optimal trading strategies are constant. Affine processes, and the theory of information … simultaneously-traded European-style options. -- Continuous-time equilibrium ; CAPM ; affine processes ; information-based asset …
Persistent link: https://www.econbiz.de/10009379446
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Introduction to general equilibrium
Balasko, Yves; Geanakoplos, John - In: Journal of Economic Theory 147 (2012) 2, pp. 400-406
This introduces the symposium on general equilibrium. …
Persistent link: https://www.econbiz.de/10010572387
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Existence of financial equilibria with restricted participation
Aouani, Zaier; Cornet, Bernard - HAL - 2009
We consider a two-date model of a financial exchange economy with finitely many agents having nonordered preferences and portfolio constraints. There is a market for physical commodities at any state today or tomorrow and financial transfers across time and across states are allowed by means of...
Persistent link: https://www.econbiz.de/10010738451