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dc.contributor.authorTriki, Leila
dc.contributor.authorMartins-da-Rocha, Victor-Filipe
HAL ID: 10403
ORCID: 0000-0002-6244-2678
dc.date.accessioned2011-08-30T14:17:31Z
dc.date.available2011-08-30T14:17:31Z
dc.date.issued2004
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6894
dc.language.isoenen
dc.subjectarbitrage-free security pricesen
dc.subjectequilibrium security pricesen
dc.subjectcollectively frictionless financial marketsen
dc.subjectconstrained portfoliosen
dc.subjectnominal assetsen
dc.subjectpurely financial securitiesen
dc.subjectincomplete financial marketsen
dc.subjectExchange economiesen
dc.subject.ddc332en
dc.subject.classificationjelC62en
dc.subject.classificationjelD52en
dc.subject.classificationjelG10en
dc.titleEquilibria in exchange economies with financial constraints: Beyond the Cass Tricken
dc.typeDocument de travail / Working paper
dc.description.abstractenWe 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.en
dc.publisher.nameUniversité Paris-Dauphineen
dc.publisher.cityParisen
dc.identifier.citationpages19en
dc.relation.ispartofseriestitleCahiers du Ceremadeen
dc.relation.ispartofseriesnumber45en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen


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