Risk-Sharing and Retrading in Incomplete Markets

Piero Gottardi and Rohit Rahi ()

No ECO2012/03, Economics Working Papers from European University Institute

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 lead to retrade, if such information were to become publicly available after the initial round of trade.

Keywords: Competitive Equilibrium; Incomplete Markets; Information; Re-trading (search for similar items in EconPapers)
JEL-codes: D52 D80 (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-cta and nep-mic
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Journal Article: Risk sharing and retrading in incomplete markets (2013)
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