Two-period economies with price-contingent deliveries (Q2354542)

The author investigates the equilibrium of a two-period exchange economy of Radner type [\textit{R. Radner}, Econometrica 36, 31--58 (1968; Zbl 0167.18601)] consisting of a finite number of agents, a finite number of commodities with uncertainty of a finite number of nature states. Agents have initial endowments and trade in the first period (ex ante) in asset markets for future delivery contingent on future spot prices. Then they trade (ex post) in spot markets for commodities. In the first period each agent chooses an asset portfolio that pays some value dependent on the spot prices in the second period. The choice is restricted by prices for future delivery contingent on the future spot prices. Observing spot prices in the realized state of nature, each agent maximizes her expected utility function, which is depended on a consumption plan, under budget restrictions reflecting the restriction on the portfolio choosing and the restriction corresponding to the realized state. Correspondingly, an equilibrium consists of the mentioned prices, the portfolio and the consumption plan. The main result of the paper is `the fact that spot prices are (generically) different across states of nature implies that price-contingent deliveries are (generically) equivalent to state-contingent deliveries'. It is stated also that `replacing state-contingent deliveries with price-contingent deliveries may generate additional equilibria and/or remove some equilibria'.