Stability of marketable payoffs with long-term assets
Jean-Marc Bonnisseau and
Achis Chery ()
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Achis Chery: 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, CREGED - Centre de Recherche en Gestion et Economie du Développement - Université Quisqueya
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Abstract:
We consider a stochastic financial exchange economy with a finite date-event tree representing time and uncertainty and a financial structure with possibly long-term assets. We exhibit a sufficient condition under which the set of marketable payoffs depends continuously on the arbitrage free asset prices. This generalizes previous results of Angeloni-Cornet and Magill-Quinzii involving only short-term assets. We also show that, under the same condition, the useless portfolios do not depend on the arbitrage free asset prices. We then provide an existence result of financial equilibrium for long term nominal assets for any given state prices with assumptions only on the fundamental datas of the economy.
Keywords: Long-term assets; Multi-period model; Incomplete markets; Financial equilibrium (search for similar items in EconPapers)
Date: 2014-11
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Citations: View citations in EconPapers (2)
Published in Annals of Finance, 2014, 10 (4), pp.523-552. ⟨10.1007/s10436-014-0251-z⟩
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Related works:
Journal Article: Stability of marketable payoffs with long-term assets (2014) 
Working Paper: Stability of marketable payoffs with long-term assets (2014)
Working Paper: Stability of marketable payoffs with long-term assets (2014)
Working Paper: Stability of marketable payoffs with long-term assets (2013) 
Working Paper: Stability of marketable payoffs with long-term assets (2013) 
Working Paper: Stability of marketable payoffs with long-term assets (2013) 
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01056203
DOI: 10.1007/s10436-014-0251-z
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