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Robustness of the coordinating role of a redundant security

Author

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  • HARA, Chiaki

    (Faculty of Economics and Politics, University of Cambridge and Churchill College.)

Abstract

The coordinating role of a redundant security is its role in markets with transaction costs to coordinate different consumers’ security demands so as to clear all security markets and, simultaneously, attain a given commodity allocation. The purpose of this paper is to prove that, under some conditions, the coordinating role of a redundant security is a robust property with respect to perturbations in utility functions, initial endowments, and transaction costs.

Suggested Citation

  • HARA, Chiaki, 1997. "Robustness of the coordinating role of a redundant security," LIDAM Discussion Papers CORE 1997057, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:1997057
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    File URL: https://sites.uclouvain.be/core/publications/coredp/coredp1997.html
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    Citations

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    Cited by:

    1. Hara, Chiaki, 2000. "Transaction costs and a redundant security: divergence of individual and social relevance1," Journal of Mathematical Economics, Elsevier, vol. 33(4), pages 497-530, May.

    More about this item

    Keywords

    Security markets; transaction costs; redundant securities; general equilibrium theory; robustness;
    All these keywords.

    JEL classification:

    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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