Existence of financial equilibria in a multiperiod stochastic economy

Laura Angeloni and Bernard Cornet
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Laura Angeloni: Dipartmento di Matematica e Informatica - Universit`a debli Studi di Pergia

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Abstract: We consider the model of a stochastic financial exchange economy with finitely many periods. Time and uncertainty are represented by a finite event-tree D and consumers may have constraints on their portfolios. We provide a general existence result of financial equilibria, which allows to cover several important cases of financial structures in the literature with or without constraints on portfolios.

Keywords: Incomplete markets; financial equilibria; constrained portfolios; multi-period model (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (7)

Published in Advances in mathematical economics, 2006, 8, pp.1-31

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Related works:
Working Paper: Existence of financial equilibria in a multiperiod stochastic economy (2006)
Working Paper: EXISTENCE OF FINANCIAL EQUILIBRIA IN A MULTIPERIOD STOCHASTIC ECONOMY (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00287671

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