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Existence Of Financial Equilibria In A Multiperiod Stochastic Economy

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  • Laura Angeloni

    (Dipartimento di Matematica e Informatica, Universita degli Studi di Perugia)

  • Bernard Cornet

    (Department of Economics, The University of Kansas)

Abstract

We consider the model of a stochastic financial exchange economy where time and uncertainty are represented by a finite event-tree of length T. We provide a general existence result of financial equilibria, which allows to cover several important cases of financial structures considered in the literature, such as nominal and numeraire assets, when consumers may have constraints on their portfolios.

Suggested Citation

  • Laura Angeloni & Bernard Cornet, 2005. "Existence Of Financial Equilibria In A Multiperiod Stochastic Economy," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200506, University of Kansas, Department of Economics, revised Feb 2005.
    • Handle: RePEc:kan:wpaper:200506
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Bernard Cornet & Abhishek Ranjan, 2012. "A remark on arbitrage free prices in multi-period economy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00707401, HAL.
    2. Bernard Cornet & Ramu Gopalan, 2010. "Arbitrage and equilibrium with portfolio constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 227-252, October.
    3. Jean-Marc Bonnisseau & Achis Chery, 2011. "On the rank of payoff matrices with long-term assets," Documents de travail du Centre d'Economie de la Sorbonne 11084, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    4. Philippe Bich & Bernard Cornet, 2009. "Existence of pseudo-equilibria in a financial economy," Post-Print halshs-00426399, HAL.
    5. Seghir, Abdelkrim & Torres-Martínez, Juan Pablo, 2011. "On equilibrium existence with endogenous restricted financial participation," Journal of Mathematical Economics, Elsevier, vol. 47(1), pages 37-42, January.
    6. Jean-Marc Bonnisseau & Achis Chéry, 2023. "Continuity of marketable payoffs with re-trading," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(1), pages 31-53, January.
    7. Aouani, Zaier & Cornet, Bernard, 2009. "Existence of financial equilibria with restricted participation," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 772-786, December.
    8. Cea-Echenique, Sebastián & Torres-Martínez, Juan Pablo, 2016. "Credit segmentation in general equilibrium," Journal of Mathematical Economics, Elsevier, vol. 62(C), pages 19-27.
    9. Alain Chateauneuf & Bernard Cornet, 2022. "Submodular financial markets with frictions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 721-744, April.
    10. Jean-Marc Bonnisseau & Achis Chery, 2013. "On the equivalence of financial structures with short-term assets," Post-Print halshs-00917644, HAL.
    11. Zaier Aouani & Bernard Cornet, 2017. "Eliminating useless portfolios in constrained financial economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(1), pages 159-190, January.
    12. Víctor Pérez Fernández & Juan Pablo Torres-Martínez, 2012. "Incomplete Financial Participation: Exclusive Markets, Investment Clubs, and Credit Risk," Working Papers wp363, University of Chile, Department of Economics.
    13. Faias, Marta & Torres-Martínez, Juan Pablo, 2017. "Credit market segmentation, essentiality of commodities, and supermodularity," Journal of Mathematical Economics, Elsevier, vol. 70(C), pages 115-122.
    14. Michele Gori & Marina Pireddu & Antonio Villanacci, 2010. "Regularity and Pareto Improving on financial equilibria with endogenous borrowing restrictions," Working Papers - Mathematical Economics 2010-08, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, revised Aug 2012.
    15. Iraola, Miguel A. & Torres-Martínez, Juan Pablo, 2014. "Equilibrium in collateralized asset markets: Credit contractions and negative equity loans," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 113-122.
    16. A. Jofré & R. T. Rockafellar & R. J-B. Wets, 2017. "General economic equilibrium with financial markets and retainability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(1), pages 309-345, January.

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