Incomplete Markets with Endogenous Portfolio Constraints and Redundant Assets
2
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
This paper shows that a competitive equilibrium exists in an ex- change economy with incomplete financial markets where redundant assets are traded and the asset trading of each agent is subject to endogenous portfolio constraints. The set of budget-feasible portfolios need not be bounded in the presence of redundant assets. To ad- dress this problem, we impose the positive semi-independence con- dition on individual portfolio constraints.
Abstract
This paper shows that a competitive equilibrium exists in an ex- change economy with incomplete financial markets where redundant assets are traded and the asset trading of each agent is subject to endogenous portfolio constraints. The set of budget-feasible portfolios need not be bounded in the presence of redundant assets. To ad- dress this problem, we impose the positive semi-independence con- dition on individual portfolio constraints.
참고문헌 (19)
- Aouani, Z., "Existence of Financial Equilibria with Restricted Participation", Journal of Mathematical Economics, 45(12), pp.772~786 (2009)
- Balasko, Y, "The Structure of Financial Equilibrium with Endogenous Yields: The Case of Restricted Participation", Journal of Mathematical Economics, 19(1-2), pp.195~216 (1990)
- Carosi, L, "Endogenous Restricted Participation in General Financial Equilibrium", Journal of Mathematical Economics, 45(12), pp.787~806 (2009)
- Cass, D., "Generic Regularity of Competitive Equilibria with Restricted Participation", Journal of Mathematical Economics, 36(1), pp.61~76 (2009)
- Cea-Echenique, S., "General Equilibrium with Endogenous Trading Constraints" (2014), Mimeograph
- Elsinger, H., "Arbitrage and Optimal Portfolio Choice with Financial Constraints" (2001), Mimeograph
- Gale, D., "An Equilibrium Existence Theorem for a General Model without Ordered Preferences", Journal of Mathematical Economics, 2(1), pp.9~15 (1975)
- Gale, D, "Correction to an Equilibrium Existence Theorem for a General Model without Ordered Preferences", Journal of Mathematical Economics, 6(3), pp.297~298 (1979)
- Geanakoplos, J, "Collateral Equilibrium I: A Basic Framework", Economic Theory, 56(3), pp.443~492 (2014)
- 한광석, "A Simple Model of Incomplete Markets with Endogenous Portfolio Constraints", 경제연구, 32(3), pp.19~40 (2014), 한국경제통상학회
- 한광석, "Survival, Arbitrage, and Equilibrium with Financial Derivatives in Constrained Asset Markets", Seoul Journal of Economics, 25(4), pp.441~461 (2012), 경제연구소
- Hahn, G, "Equilibrium Theory with Portfolio Constraints" (2014), Mimeograph
- Heath, D. C, "Arbitrage, Continuous Trading, and Margin Requirements", Journal of Finance, 42(5), pp.1129~1142 (1987)
- Jouini, E, "Viability and Equilibrium in Securities Markets with Frictions", Mathematical Finance, 9(3), pp.273~292 (1999)
- Luttmer, E. G. J, "Asset Pricing in Economies with Frictions", Econometrica, 64(6), pp.1439~1467 (1996)
- Page, F. H, "Arbitrage with Price-Dependent Preferences: Equilibrium and Market Stability", Fields Institute Communications, 23, pp.189~212 (1999)
- Seghir, A., "On Equilibrium Existence with Endogenous Restricted Financial Participation", Journal of Mathematical Economics, 47(1), pp.37~42 (2011)
- Werner, J., "Equilibrium with Incomplete Markets without Ordered Preferences", Journal of Economic Theory, 49(2), pp.379~382 (1989)
- 원동철, "제한적 차익거래가격결정과 금융자산시장의 균형", Asia-Pacific Journal of Financial Studies, 32(3), pp.85~132 (2003), 한국증권학회