Stability of marketable payoffs with long-term assets

Jean-Marc Bonnisseau and Achis Chery ()

Annals of Finance, 2014, vol. 10, issue 4, 523-552

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 provide an existence result of financial equilibrium for long term nominal assets for any given state prices with assumptions only on the fundamental datas of the economy. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Incomplete markets; Financial equilibrium; Multi-period model; Long-term assets; D5; D4; G1 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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Working Paper: Stability of marketable payoffs with long-term assets (2014)
Working Paper: Stability of marketable payoffs with long-term assets (2014)
Working Paper: Stability of marketable payoffs with long-term assets (2014)
Working Paper: Stability of marketable payoffs with long-term assets (2013)
Working Paper: Stability of marketable payoffs with long-term assets (2013)
Working Paper: Stability of marketable payoffs with long-term assets (2013)
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DOI: 10.1007/s10436-014-0251-z

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