Show simple item record

dc.contributor.authorJouini, Elyès
HAL ID: 6654
dc.contributor.authorKallal, Hedi
dc.date.accessioned2011-01-31T15:55:09Z
dc.date.available2011-01-31T15:55:09Z
dc.date.issued1999-07
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5603
dc.language.isoenen
dc.subjectViabilityen
dc.subjectequilibriumen
dc.subjectabsence of arbitrageen
dc.subjectfree lunchen
dc.subjectmarket frictionsen
dc.subjectconvex and sublinear pricing ruleen
dc.subjectconsistent bid-ask pricesen
dc.subjectarbitrage boundsen
dc.subjectequilibrium boundsen
dc.subject.ddc332en
dc.subject.classificationjelG13en
dc.subject.classificationjelG12en
dc.subject.classificationjelD58en
dc.subject.classificationjelD53en
dc.subject.classificationjelC62en
dc.titleViability and equilibrium in securities markets with frictionsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn this paper we study some foundational issues in the theory of asset pricing with market frictions. We model market frictions by letting the set of marketed contingent claims (the opportunity set) be a convex set, and the pricing rule at which these claims are available be convex. This is the reduced form of multiperiod securities price models incorporating a large class of market frictions. It is said to be viable as a model of economic equilibrium if there exist price-taking maximizing agents who are happy with their initial endowment, given the opportunity set, and hence for whom supply equals demand. This is equivalent to the existence of a positive lineaar pricing rule on the entirespace of contingent claims—an underlying frictionless linear pricing rule—that lies below the convex pricing rule on the set of marketed claims. This is also equivalent to the absence of asymptotic free lunches—a generalization of opportunities of arbitrage. When a market for a nonmarketed contingent claim opens, a bid-ask price pair for this claim is said to be consistent if it is a bid-ask price pair in at least a viable economy with this extended opportunity set. If the set of marketed contingent claims is a convex cone and the pricing rule is convex and sublinear, we show that the set of consistent prices of a claim is a closed interval and is equal (up to its boundary) to the set of its prices for all the underlying frictionless pricing rules. We also show that there exists a unique extended consistent sublinear pricing rule—the supremum of the underlying frictionless linear pricing rules—for which the original equilibrium does not collapse when a new market opens, regardless of preferences and endowments. If the opportunity set is the reduced form of a multiperiod securities market model, we study the closedness of the interval of prices of a contingent claim for the underlying frictionless pricing rules.en
dc.relation.isversionofjnlnameMathematical Finance
dc.relation.isversionofjnlvol9en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate1999-07
dc.relation.isversionofjnlpages275–292en
dc.relation.isversionofdoihttp://dx.doi.org/10.1111/1467-9965.00071en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherOxford Blackwell Publishersen
dc.subject.ddclabelEconomie financièreen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record