Reduced equivalent form of a financial structure

Zaier Aouani, Bernard Cornet

Research output: Contribution to journalArticle

11 Citations (Scopus)

Abstract

We consider the two-date model of a financial exchange economy (E,F), with agents' portfolio restrictions either represented by finitely many linear inequality constraints or satisfying Hart's (1974) Weak No Market Arbitrage condition. The economy (E,F) is shown to have the same consumption equilibria as a reduced economy (E,F′), for which the set of admissible portfolio 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.

Original languageEnglish
Pages (from-to)318-327
Number of pages10
JournalJournal of Mathematical Economics
Volume47
Issue number3
DOIs
Publication statusPublished - May 2011
Externally publishedYes

Fingerprint

Exchange Economy
Arbitrage
Linear Constraints
Inequality Constraints
Date
Existence Results
Linear Inequalities
Deduce
Restriction
Form
Financial structure
Model
Market
Standards
Inequality constraints
Equilibrium existence
Exchange economy
Portfolio allocation

Keywords

  • Arbitrage-free prices
  • Consumption equilibrium
  • Equivalent financial structure
  • Financial exchange economy
  • Portfolio constraints
  • Reduced financial structure
  • Restricted participation

ASJC Scopus subject areas

  • Economics and Econometrics
  • Applied Mathematics

Cite this

Reduced equivalent form of a financial structure. / Aouani, Zaier; Cornet, Bernard.

In: Journal of Mathematical Economics, Vol. 47, No. 3, 05.2011, p. 318-327.

Research output: Contribution to journalArticle

Aouani, Zaier ; Cornet, Bernard. / Reduced equivalent form of a financial structure. In: Journal of Mathematical Economics. 2011 ; Vol. 47, No. 3. pp. 318-327.
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