On the rank of payoff matrices 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

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Abstract: We consider a stochastic financial exchange economy with a finite date-event tree representing time and uncertainty and a nominal financial structure with possibly long-term assets. We exhibit a sufficient condition under which the payoff matrix and the full payoff matrix have the same rank. This generalizes previous results of Angeloni-Cornet and Magill-Quinzii involving only short-term assets. We then derive existence results with assumptions only based on the fundamentals of the economy.

Keywords: long-term assets; Marchés incomplets; équilibre financier; modèle à plusieurs périodes; actifs de long terme.; financial equilibrium; multi-period model; long-term assets.; Incomplete markets (search for similar items in EconPapers)
Date: 2011-12
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00659183v1
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Published in 2011

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Related works:
Working Paper: On the rank of payoff matrices with long-term assets (2011)
Working Paper: On the rank of payoff matrices with long-term assets (2011)
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