On the equivalence of financial structures with long-term assets

Jean-Marc Bonnisseau and Achis Chery ()
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Achis Chery: Université Quisqueya, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement

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Abstract: In a stochastic financial exchange economy, two financial structures are equivalent if, for each given state price, regardless the associated arbitrage free price, the marketable payoffs are identical. The key property of two equivalent financial structures is that, when associated with any standard exchange economy, they lead to the same financial equilibrium. We exhibit a sufficient condition for the equivalence of two financial structures with possibly long-term assets. We then apply this result to financial structures built upon primitive assets and their re-trading to get a necessary and sufficient condition. We also borrow an assumption from [7] to prove the equivalence between a financial structure and its reduced forms and between to complete financial structures.

Keywords: Equivalent financial structures; financial equilibrium; multi-period model; long-term assets; financial sub-structure; reduced forms; Structures financières équivalentes; équilibre financier; multi-période; actifs à long terme; sous-structure financière; formes réduites (search for similar items in EconPapers)
Date: 2014-11
Note: View the original document on HAL open archive server: https://hal.science/hal-01130785v1
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Published in 2014

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Related works:
Working Paper: On the equivalence of financial structures with long-term assets (2017)
Working Paper: On the equivalence of financial structures with long-term assets (2017)
Working Paper: On the equivalence of financial structures with long-term assets (2017)
Working Paper: On the equivalence of financial structures with long-term assets (2014)
Working Paper: On the equivalence of financial structures with long-term assets (2014)
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