A Note on Equilibrium in Constrained Incomplete Markets with Non-Ordered Preferences
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We prove the existence of Radner equilibrium of plans, price and price expectations in incomplete markets with non-ordered preferences which are subject to portfolio constraints. In particular, the paper extends the results of Werner (1989) to constrained incomplete markets by providing a unifying framework for a variety of restrictions on the risk-sharing role of redundant assets.
Abstract
We prove the existence of Radner equilibrium of plans, price and price expectations in incomplete markets with non-ordered preferences which are subject to portfolio constraints. In particular, the paper extends the results of Werner (1989) to constrained incomplete markets by providing a unifying framework for a variety of restrictions on the risk-sharing role of redundant assets.
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