EXISTENCE OF FINANCIAL EQUILIBRIA IN A MULTIPERIOD STOCHASTIC ECONOMY

Laura Angeloni and Bernard Cornet
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Laura Angeloni: Dipartimento di Matematica e Informatica, Universita degli Studi di Perugia

No 200506, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS from University of Kansas, Department of Economics

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.

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