THE EXISTENCE OF EQUILIBRIUM IN A FINANCIAL MARKET WITH TRANSACTION COSTS

Xing Jin and Frank Milne
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Xing Jin: Institute of Systems Science, Academia Sinica, Beijing 100080, PR China

Chapter 14 in Quantitative Analysis in Financial Markets:Collected Papers of the New York University Mathematical Finance Seminar, 1999, pp 323-343 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis paper proves the existence of a general equilibrium in a financial model with transaction costs. A general equilibrium is shown to exist in a model with convex trading technology, in which the agents include consumers, production firms, brokers or dealers. When the trading technology is non-convex, an individual approximate equilibrium, introduced by Heller and Starr (1976), is proved in the above model. And, moreover, under a further assumption of finite p-convexity on the commodity excess demand correspondence, a general equilibrium for a non-convex exchange economy is obtained for an economy with consumers, brokers or dealers.

Date: 1999
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Related works:
Working Paper: The Existence of Equilibrium in a Financial Market with Transaction Costs (1999)
Working Paper: The Existence Of Equilibrium In A Financial Market With Transaction Costs (1996)
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