Equilibrium analysis in financial markets with countably many securities

Tourky, Rabee; Martins-da-Rocha, Victor-Filipe; Florenzano, Monique; Aliprantis, Charalambos

Tourky, Rabee; Martins-da-Rocha, Victor-Filipe; Florenzano, Monique; Aliprantis, Charalambos (2004), Equilibrium analysis in financial markets with countably many securities, Journal of Mathematical Economics, 40, 6, p. 683-699. http://dx.doi.org/10.1016/j.jmateco.2003.06.003

Type

Article accepté pour publication ou publié

External document link

http://halshs.archives-ouvertes.fr/halshs-00086810/en/

Date

2004

Journal name

Journal of Mathematical Economics

Volume

Number

Publisher

Elsevier

Pages

683-699

Abstract (EN)

An F-cone is a pointed and generating convex cone of a real vector space that is the union of a countable family of finite dimensional polyedral convex cones such that each of which is an extremel subset of the subsequent one. In this paper, we study securities markets with countably many securities and arbitrary finite portfolio holdings. Moreover, we assume that each investor is constrained to have a non-negative end-of-period wealth. If, under the portfolio dominance order, the positive cone of the portfolio space is an F-cone, then Edgeworth allocations and non-trivial quasi-equilibria exist. This result extend the case where, as in Aliprantis et al.[JME 30 (1998a) 347-366], the positive cone is a Yudin cone.

Subjects / Keywords

Securities markets; Edgeworth equilibrium; Non-trivial quasi-equilibrium; inductive limit topology; F-cone; Riesz-Kantorovich functional

JEL

D41 - Perfect Competition
D51 - Exchange and Production Economies
G11 - Portfolio Choice; Investment Decisions
G22 - Insurance; Insurance Companies; Actuarial Studies