On the rank of payoff matrices with long-term assets

Jean-Marc Bonnisseau and Achis Chery ()
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Achis Chery: Centre d'Economie de la Sorbonne et Université Quisqueya - FSGA, https://centredeconomiesorbonne.cnrs.fr

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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: Incomplete markets; financial equilibrium; multi-period model; long-term assets (search for similar items in EconPapers)
JEL-codes: D4 D5 G1 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2011-12
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ftp://mse.univ-paris1.fr/pub/mse/CES2011/11084.pdf (application/pdf)

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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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:11084

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