Existence of financial equilibria in a multiperiod stochastic economy

Laura Angeloni (1) , Bernard Cornet (2, 3)

1 Dipartmento di Matematica e Informatica
2 Department of economics, University of Kansas
3 CES - Centre d'économie de la Sorbonne

We consider the model of a stochastic financial exchange economy with finitely many periods. Time and uncertainty are represented by a finite event-tree D and consumers may have constraints on their portfolios. We provide a general existence result of financial equilibria, which allows to cover several important cases of financial structures in the literature with or without constraints on portfolios.

Mots clés: Incomplete markets; financial equilibria; constrained portfolios; multi-period model

Domaines: Economies et finances

Laura Angeloni, Bernard Cornet. Existence of financial equilibria in a multiperiod stochastic economy. Advances in mathematical economics, 2006, 8, pp.1-31. ⟨hal-00287671⟩