Existence of financial equilibria with restricted participation

Zaier Aouani (aouani@gmail.com) and Bernard Cornet
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Zaier Aouani: ISET - International School of Economics at TSU, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: We consider a two-date model of a financial exchange economy with finitely many agents having nonordered preferences and portfolio constraints. There is a market for physical commodities at any state today or tomorrow and financial transfers across time and across states are allowed by means of finitely many nominal assets or numeraire assets. We prove a general existence result of equilibria for such a financial exchange economy in which portfolios are defined by linear constraints, extending the framework of linear equality constraints by Balasko et al. (1990) and the existence results in the unconstrained case by Cass (1984, 2006), Werner (1985), Duffie (1987) and Geanakoplos and Polemarchakis (1986). Our main result is a consequence of an auxiliary result, also of interest for itself, in which agents' portofolio constraints are defined by general closed convex sets and the financial structure is assumed to satisfy a "nonredundancy-type" assumption, weaker than the ones in Radner (1972) and Siconolfi (1989).

Keywords: Restricted participation; portfolio constraints; financial exchange economy; equilibrium; existence; arbitrage-free asset prices; Participation restreinte; contraintes sur les portefeuilles; économie financière; équilibre; prix de non-arbitrage (search for similar items in EconPapers)
Date: 2009-10
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00426441
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Citations: View citations in EconPapers (45)

Published in 2009

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Related works:
Journal Article: Existence of financial equilibria with restricted participation (2009)
Working Paper: Existence of financial equilibria with restricted participation (2009)
Working Paper: Existence of financial equilibria with restricted participation (2009)
Working Paper: Existence of financial equilibria with restricted participation (2009)
Working Paper: Existence of financial equilibria with restricted participation (2009)
Working Paper: Existence of financial equilibria with restricted participation (2009)
Working Paper: Existence of financial equilibria with restricted participation (2009)
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