Equilibrium analysis in financial markets with countably many securities

Charalambos Aliprantis (), Monique Florenzano, V. Filipe Martins-da-Rocha and Rabee Tourky ()
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Charalambos Aliprantis: Department of Economics - Purdue University [West Lafayette]
Rabee Tourky: Department of Economics - Purdue University [West Lafayette]

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Abstract: An F-cone is a pointed and generating convex cone of a real vector space that is the union of a countable family of finite dimensional polyedral convex cones such that each of which is an extremel subset of the subsequent one. In this paper, we study securities markets with countably many securities and arbitrary finite portfolio holdings. Moreover, we assume that each investor is constrained to have a non-negative end-of-period wealth. If, under the portfolio dominance order, the positive cone of the portfolio space is an F-cone, then Edgeworth allocations and non-trivial quasi-equilibria exist. This result extend the case where, as in Aliprantis et al.[JME 30 (1998a) 347-366], the positive cone is a Yudin cone.

Keywords: Securities markets; Edgeworth equilibrium; Non-trivial quasi-equilibrium; inductive limit topology; F-cone; Riesz-Kantorovich functional (search for similar items in EconPapers)
Date: 2004-09
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00086810v1
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Citations: View citations in EconPapers (8)

Published in Journal of Mathematical Economics, 2004, 40 (6), pp.683-699. ⟨10.1016/j.jmateco.2003.06.003⟩

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Journal Article: Equilibrium analysis in financial markets with countably many securities (2004)
Working Paper: Equilibrium analysis in financial markets with countably many securities (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00086810

DOI: 10.1016/j.jmateco.2003.06.003

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