Equilibrium analysis in financial markets with countably many securities
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 publiéExternal document link
http://halshs.archives-ouvertes.fr/halshs-00086810/en/Date
2004Journal name
Journal of Mathematical EconomicsVolume
40Number
6Publisher
Elsevier
Pages
683-699
Publication identifier
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Show full item recordAbstract (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 functionalRelated items
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