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A Note on Equilibrium in Constrained Incomplete Markets with Non-Ordered Preferences

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주제분류경제학

초록

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.

참고문헌 (21)

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  10. 한광석, "Incomplete Markets with Cone Constraints", 계량경제학보, 19(2), pp.1~20 (2008), 한국계량경제학회
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  20. Equilibrium with Asymmetric Constraints on Portfolio Holdings and Incomplete Financial Markets, "Siconolfi, P", University of Pennsylvania, ~, pp.CARESS Working Paper 86-21 (1986)
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