A Simple Model of Incomplete Markets with Endogenous Portfolio Constraints
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This paper investigates the existence of general equilibrium in incomplete markets with nominal financial assets and endogenous portfolio constraints. We consider a two-period exchange economy with incomplete markets where trading of financial assets is endogenously constrained by asset prices and no redundant asset is traded. When the economy satisfies the standard assumptions and portfolio constraint sets are lower hemicontinuous in asset prices, a competitive equilibrium is shown to be exist.
Abstract
This paper investigates the existence of general equilibrium in incomplete markets with nominal financial assets and endogenous portfolio constraints. We consider a two-period exchange economy with incomplete markets where trading of financial assets is endogenously constrained by asset prices and no redundant asset is traded. When the economy satisfies the standard assumptions and portfolio constraint sets are lower hemicontinuous in asset prices, a competitive equilibrium is shown to be exist.
참고문헌 (13)
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