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Identification of Individual Demands from Market Data under Uncertainty

Author

Listed:
  • Carvajal Andres

    (University of Warwick, a.m.carvajal@warwick.ac.uk)

  • Riascos Alvaro Jose

    (Universidad de los Andes, ariascos@gmail.com)

Abstract

We show that, even under incomplete markets, the equilibrium manifold identifies individual demands everywhere in their domains. Under partial observation of the manifold, we determine maximal subsets of the domains on which identification holds. For this, we assume conditions of smoothness, interiority and regularity. It is crucial that there be date-zero consumption. As a by-product, we develop a duality theory under incomplete markets.

Suggested Citation

  • Carvajal Andres & Riascos Alvaro Jose, 2008. "Identification of Individual Demands from Market Data under Uncertainty," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 8(1), pages 1-30, March.
    • Handle: RePEc:bpj:bejtec:v:8:y:2008:i:1:n:9
    DOI: 10.2202/1935-1704.1420
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    Cited by:

    1. Carvajal, Andrés & Polemarchakis, Herakles, 2011. "Idiosyncratic risk and financial policy," Journal of Economic Theory, Elsevier, vol. 146(4), pages 1569-1597, July.
    2. Andrés Carvajal, 2010. "The testable implications of competitive equilibrium in economies with externalities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 349-378, October.

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