Reduced equivalent form of a financial structureZaier Aouani and Bernard Cornet Journal of Mathematical Economics, 2011, vol. 47, issue 3, 318-327 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. Keywords: Restricted participation; Portfolio constraints; Financial exchange economy; Reduced financial structure; Equivalent financial structure; Arbitrage-free prices; Consumption equilibrium (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:47:y:2011:i:3:p:318-327 DOI: 10.1016/j.jmateco.2010.12.015 Access Statistics for this article Journal of Mathematical Economics is currently edited by Atsushi (A.) Kajii More articles in Journal of Mathematical Economics from Elsevier |
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