Asset market equilibrium with short-selling and differential information
The paper studies equilibrium in a pure exchange economy with a finite set of agents. The economy extends over two periods with uncertainty about the realized state of the nature in the second one. Each agent has an individual perception of uncertainty, represented by a probability space. In the first period agents sign contracts contingent to their perception of uncertainty, in the second period individual uncertainty is resolved and contracts are executed. Differences about information structures of different agents are supposed. The paper extends results valid for symmetric information economies to the differential information setting: The existence of equilibrium is proved under conditional independence property of the information structure (given the common information) and this property also implies that contracts are always executable.
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- scientific article; zbMATH DE number 1351867 (Why is no real title available?)
- scientific article; zbMATH DE number 3307201 (Why is no real title available?)
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