
Equilibria in exchange economies with financial constraints: Beyond the Cass Trick
Triki, Leila; Martins-da-Rocha, Victor-Filipe (2004), Equilibria in exchange economies with financial constraints: Beyond the Cass Trick. https://basepub.dauphine.fr/handle/123456789/6894
View/ Open
Type
Document de travail / Working paperDate
2004Publisher
Université Paris-Dauphine
Series title
Cahiers du CeremadeSeries number
45Published in
Paris
Pages
19
Metadata
Show full item recordAbstract (EN)
We consider an exchange economy under incomplete financial markets with purely financial securities and finitely many agents. When portfolios are not constrained Cass [4], Duffie [7] and Florenzano–Gourdel [12] proved that arbitrage-free security prices fully characterize equilibrium security prices. This result is based on a trick initiated by Cass [4] in which one unconstrained agent behaves as if he were in complete markets This approach is unsatisfactory since it is asymmetric and no more valid when every agent is subject to frictions. We propose a new and symmetric approach to prove that arbitrage-free security prices still fully characterize equilibrium security prices in the more realistic situation where the financial market is constrained by convex restrictions provided that financial markets are collectively frictionless.Subjects / Keywords
arbitrage-free security prices; equilibrium security prices; collectively frictionless financial markets; constrained portfolios; nominal assets; purely financial securities; incomplete financial markets; Exchange economiesRelated items
Showing items related by title and author.
-
Vailakis, Yiannis; Martins-da-Rocha, Victor-Filipe (2012) Article accepté pour publication ou publié
-
Martins-da-Rocha, Victor-Filipe; Riedel, Frank (2006) Article accepté pour publication ou publié
-
Topuzu, Mihaela; Martins-da-Rocha, Victor-Filipe (2008) Article accepté pour publication ou publié
-
Araujo, Aloisio; Martins-da-Rocha, Victor-Filipe; Monteiro, Paulo K. (2004) Article accepté pour publication ou publié
-
Tourky, Rabee; Martins-da-Rocha, Victor-Filipe; Florenzano, Monique; Aliprantis, Charalambos (2004) Article accepté pour publication ou publié