Stability of marketable payoffs with long-term assets

DOI10.1007/S10436-014-0251-ZMaRDI QIDQ481378zbMATH OpenOpenAlexFDO

Authors Jean-Marc Bonnisseau, Achis Chery

Publication date 12 December 2014

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://halshs.archives-ouvertes.fr/halshs-00917638/document

zbMATH Keywords

financial equilibriumincomplete marketslong-term assetsmulti-period model

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42) General equilibrium theory (91B50) Special types of economic equilibria (91B52) Financial applications of other theories (91G80)

Review text

This paper discusses the stability of marketable payoffs incorporating long-term assets and equilibrium in a finite multi-period stochastic financial exchange economy. A finite-time event tree describing time and uncertainty and a financial structure incorporating long-term assets are presented in Section 2. The continuity of marketable payoffs is discussed in Section 3. In particular, a sufficient condition for the continuity is presented. The existence of a financial equilibrium in the stochastic financial exchange economy is established in Section 4.

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Cites work

• Arbitrage and equilibrium with portfolio constraints
• Existence of financial equilibria with restricted participation
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• Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles

Cited in

(5)

• Stable manifold market sequences
• Continuity of marketable payoffs with re-trading
• On the equivalence of financial structures with short-term assets
• On the equivalence of financial structures with long-term assets
• Existence, uniqueness, and stability of optimal payoffs of eligible assets

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