Sensitivity of marketable payoffs with long-term assets

Jean-Marc Bonnisseau and Achis Chery ()
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Achis Chery: CREGED - Centre de Recherche en Gestion et Economie du Développement - Université Quisqueya, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: We consider a stochastic financial exchange economy with a finite date-event tree representing time and uncertainty and a financial structure with possibly long-term assets. We exhibit a sufficient condition under which the set of marketable payoffs depends continuously on the arbitrage free asset prices. This generalizes previous results of Angeloni-Cornet and Magill-Quinzii involving only short-term assets. We also show that, under the same condition, the useless portfolios do not depend on the arbitrage free asset prices. We then derive an existence result for nominal assets for all state prices with assumptions only on the fundamental datas of the economy.

Keywords: marchés incomplets; équilibre financier; modèle à plusieurs périodes; actifs de long terme; Incomplete markets; financial equilibium; multi-period model; long-term assets (search for similar items in EconPapers)
Date: 2013-03
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00821094v1
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Citations: View citations in EconPapers (1)

Published in 2013

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Working Paper: Sensitivity of marketable payoffs with long-term assets (2013)
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