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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 publié
External document link
http://halshs.archives-ouvertes.fr/halshs-00086810/en/
Date
2004
Journal name
Journal of Mathematical Economics
Volume
40
Number
6
Publisher
Elsevier
Pages
683-699
Publication identifier
http://dx.doi.org/10.1016/j.jmateco.2003.06.003
Metadata
Show full item record
Author(s)
Tourky, Rabee
Martins-da-Rocha, Victor-Filipe cc
Florenzano, Monique
Aliprantis, Charalambos
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

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