Reduced equivalent form of a financial structure

Zaier Aouani () and Bernard Cornet
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Zaier Aouani: College of Business and Economics, Qatar University - Qatar University

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: We consider the two-date model of a financial exchange economy (E, F), with agents' portfolionext term restrictions either represented by finitely many linear inequality constraints or satisfying Hart (1974)'s Weak No Market Arbitrage condition. The economy (E, F) is shown to have the same consumption equilibria as a reduced economy (E, T'), for which the set of admissible previous termportfolio allocations is bounded. Building upon the equilibrium existence result for reduced financial economies (E, !F'), (Aouani and Cornet, 2009), we then deduce the existence of equilibra of (E, F), under standard assumptions on the consumption side and under the aforementioned assumption on the financial side.

Keywords: Restricted participation; previous termportfolio constraints; financial exchange economy; reduced financial structure; equivalent financial structure; arbitrage-free prices; consumption equilibrium (search for similar items in EconPapers)
Date: 2011-05
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Published in Journal of Mathematical Economics, 2011, 47 (3, "special issue in honour of Andreu Mas-Colell"), pp.318-327. ⟨10.1016/j.jmateco.2010.12.015⟩

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Journal Article: Reduced equivalent form of a financial structure (2011)
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Working Paper: Reduced equivalent form of a financial structure (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-00629785

DOI: 10.1016/j.jmateco.2010.12.015

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