The Existence of Equilibrium in a Financial Market with Transaction Costs

Xing Jin and Frank Milne
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Xing Jin: Institute of Systems, Academia Sinica

No 1084, Working Paper from Economics Department, Queen's University

Abstract: This paper proves the existence of a general equilibrium in a financial model with transaction costs. A general equilibrium is shown to exist in a model with convex trading technology, in which the agents include consumers, production firms, brokers or dealers. When the trading technology is non-convex, an individual approximate equilibrium, introduced by Heller and Starr (1976) is proved in the above model. And, moreover, under a further assumption of finite p-convexity on the commodity excess demand correspondence, a general equilibrium for a non-convex exchange economy is obtained for an economy with consumers, brokers or dealers.

Keywords: arbitrage; general equilibrium; transaction cost; individual approximate equilibrium; finite p-convexity (search for similar items in EconPapers)
Pages: 21 pages
Date: 1999-01
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Citations: View citations in EconPapers (6)

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http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1084.pdf First version 1999 (application/pdf)

Related works:
Working Paper: The Existence Of Equilibrium In A Financial Market With Transaction Costs (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1084

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