Risk sharing and retrading in incomplete markets

Piero Gottardi and Rohit Rahi ()

Economic Theory, 2013, vol. 54, issue 2, 287-304

Abstract: At a competitive equilibrium of an incomplete-markets economy agents’ marginal valuations for the tradable assets are equalized ex-ante. We characterize the finest partition of the state space conditional on which this equality holds for any economy. This leads naturally to a necessary and sufficient condition on information that would induce agents to retrade, if such information was to become publicly available after the initial round of trade. Copyright Springer-Verlag 2013

Keywords: Competitive equilibrium; Incomplete markets; Information; Retrading; D52; D80 (search for similar items in EconPapers)
Date: 2013
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Working Paper: Risk-Sharing and Retrading in Incomplete Markets (2012)
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DOI: 10.1007/s00199-012-0717-z

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