Reduced equivalent form of a financial structure

Article dans une revue: We consider the two-date model of a financial exchange economy (E, F), with agents' portfolionext term restrictions either represented by finitely many linear inequality constraints or satisfying Hart (1974)'s Weak No Market Arbitrage condition. The economy (E, F) is shown to have the same consumption equilibria as a reduced economy (E, T'), for which the set of admissible previous termportfolio allocations is bounded. Building upon the equilibrium existence result for reduced financial economies (E, !F'), (Aouani and Cornet, 2009), we then deduce the existence of equilibra of (E, F), under standard assumptions on the consumption side and under the aforementioned assumption on the financial side.

Auteur(s)

Zaier Aouani, Bernard Cornet

Revue
  • Journal of Mathematical Economics
Date de publication
  • 2011
Mots-clés
  • Restricted participation
  • Previous termportfolio constraints
  • Financial exchange economy
  • Reduced financial structure
  • Equivalent financial structure
  • Arbitrage-free prices
  • Consumption equilibrium
Pages
  • 318-327
Version
  • 1
Volume
  • 47