Stability of marketable payoffs with long-term assets
Jean-Marc Bonnisseau
(1, 2)
,
Achis Chery
(2, 3)
Jean-Marc Bonnisseau
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- Fonction : Auteur correspondant
- PersonId : 171804
- IdHAL : jean-marc-bonnisseau
- ORCID : 0000-0002-8156-2229
- IdRef : 033522448
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Achis Chery
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- PersonId : 959153
Résumé
We consider a stochastic financial exchange economy with a finite date-event tree representing time and uncertainty and a financial structure with possibly long-term assets. We exhibit a sufficient condition under which the set of marketable payoffs depends continuously on the arbitrage free asset prices. This generalizes previous results of Angeloni-Cornet and Magill-Quinzii involving only short-term assets. We also show that, under the same condition, the useless portfolios do not depend on the arbitrage free asset prices. We then provide an existence result of financial equilibrium for long term nominal assets for any given state prices with assumptions only on the fundamental datas of the economy.
Format du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
Stability of marketable payoffs with long-term assets
|
Résumé |
en
We consider a stochastic financial exchange economy with a finite date-event tree representing time and uncertainty and a financial structure with possibly long-term assets. We exhibit a sufficient condition under which the set of marketable payoffs depends continuously on the arbitrage free asset prices. This generalizes previous results of Angeloni-Cornet and Magill-Quinzii involving only short-term assets. We also show that, under the same condition, the useless portfolios do not depend on the arbitrage free asset prices. We then provide an existence result of financial equilibrium for long term nominal assets for any given state prices with assumptions only on the fundamental datas of the economy.
|
Auteur(s) |
Jean-Marc Bonnisseau
1, 2
, Achis Chery
2, 3
1
CES -
Centre d'économie de la Sorbonne
( 15080 )
- Maison des Sciences Économiques - 106-112 Boulevard de l'Hôpital - 75647 Paris Cedex 13
- France
2
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
3
CREGED -
Centre de Recherche en Gestion et Economie du Développement
( 264623 )
- Université Quisqueya, 218 Haut Turgeau, 6113 Port-au-prince, Haiti
- Haïti
|
Langue du document |
Anglais
|
Date de production/écriture |
2013-04-13
|
Nom de la revue |
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Date de publication |
2014-11
|
Date de publication électronique |
2014-06-10
|
Volume |
10
|
Numéro |
4
|
Page/Identifiant |
523-552
|
Domaine(s) |
|
Mots-clés (JEL) |
|
Financement |
|
Mots-clés |
it
Long-term assets, Multi-period model, Incomplete markets, Financial equilibrium
|
DOI | 10.1007/s10436-014-0251-z |
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