The Existence Of Equilibrium In A Financial Market With Transaction Costs

Frank Milne and Xing Jin
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Xing Jin: University of Warwick

No 934, 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. The general equilibrium is shown to exist in a model with convex trading technology, in which the agents include consumers, production firms, brokers and 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 finitep-convexity on the commodity excess demand correspondence, the general equilibium for a non-convex exchange economy is obtained for an economy with consumers, brokers and dealers.

Keywords: finite p-convexity; arbitrage; general equilibrium; transaction cost; individual approximate equilibrium (search for similar items in EconPapers)
JEL-codes: C62 D51 G10 (search for similar items in EconPapers)
Pages: 22 pages
Date: 1996-09
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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_934.pdf First version 1996 (application/pdf)

Related works:
Working Paper: The Existence of Equilibrium in a Financial Market with Transaction Costs (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:934

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