Arbitrage and equilibrium in economies with short-selling and ambiguty
|
|
- Alvin Norris
- 6 years ago
- Views:
Transcription
1 Arbitrage and equilibrium in economies with short-selling and ambiguty Thai Ha-Huy, Cuong Le Van, Myrna Wooders April 20, 2015 Abstract We consider a model with an finite number of states of nature where short sells are allowed. We present a weaker notion of no-arbitrage price than the one of Werner, and prove that in the case of separable averse at risk utility functions, the existence of one common weak no-arbitrage price is equivalent to the existence of equilibrium. In the general case, this equivalence is true under one of three conditions: closed gradient, no half-line, maximal. Keywords: asset market equilibrium, individually rational attainable allocations, individually rational utility set, no-arbitrage prices, no-arbitrage condition. JEL Classification: C62, D50, D81,D84,G1. University of Evry-Val-D Essonne. thai.ha-huy@m4x.org IPAG Business School, CNRS, Paris School of Economics, VCREME. Cuong.Le- Van@univ-paris1.fr Vanderbilt University. myrna.wooders@gmail.com 1
2 1 Introduction Various conditions have been given for the existence of general equilibrium in an exchange economy. There are different approaches. We can classify them in three main categories. The first category based on conditions on net trade, for example Hart (1974) [?], Page (1987) [17], Nielsen (1989) [16], Page and Wooders (1996) [18], Allouch (1999) [?], Page, Wooders and Monteiro (2000) [19]. We define Individual arbitrage opportunity the set of directions which agent wants to trade with infinite quantities. Hart (1974) [?] is the first who consider the problem of existence of general equilibrium of assets market with short-sales. In the case the agents disagree too much, some agents can make an arbitrage, which is An opportunity with a mutually compatible set of net trades which are utility non-decreasing and, at most, costless to make. Taking the fact that this opportunity can be repeated indefinitely, equilibrium may do not exists. The Weak-no-market-arbitrage (WNMA) requires that that all mutually compatibles net trades which are non-decreasing be useless. Page (1987) proposed the no-unbounded-arbitrage (NUBA), a situation in which there is no group of agents can make mutually compatible, unbounded and utility increasing trades. In 2000, Page Wooders and Monteiro [19], use Inconsequential arbitrage condition to insure the existence for an equilibrium. The second category based on conditions on prices, for example Green (1973) [?], Grandmont (1972, 1977) [?] [?], Hammond (1983) [?] and Werner (1987) [21]. Those authors define Non-arbitrage-price as the dual strictly positive on the set of useful vectors. If the intersection of No-arbitrage-price cones of all agents are non empty (existence of No-arbitrage-price-system NAPS), then the exists general equilibrium. Other authors, like Brown and Werner (1995) [?], Dana, Le Van, Magnien (1999) [7] use condition on the compactness of attainable utility set to ensure the existence of equilibrium. In the case utility functions are quasi-concave, Allouch, Le Van and Page (2002) [?], Ha-Huy and Nguyen (2009) [?] by different approaches, prove the equivalence between the existence of No-arbitrage-price-system (NAPS) and NUBA or WNMA. Allouch, Le Van and Page [?] (2002) extend the definition of no arbitrage price system (NAPS) introduced by Werner [21] (1987) to the case where some agent in the economy has only useless vectors. They show that an extension of NAPS condition of Werner [21] (1987) is actually equivalent to the weak no market arbitrage (WNMA) condition introduced by Hart (1974). They mention that this result implies one given by Page and Wooders (1996) [18] who prove that no unbounded arbitrage (NUBA) condition, a special case of Page 2
3 (1987), is equivalent to NAPS when no agent has non-null useless vectors. The first part of this chapter is to show that when the statement NUBA implies NAPS (Page and Wooders, 1996) is true then we have WNMA implies NAPS (Allouch, Le Van and Page [?] 2002). But it is obvious that if the second statement holds then the first one also holds. The novelty of the result of this note is that the results are self-contained. While Allouch, Le Van and Page [?] (2002) prove WNMA implies NAPS by using a difficult Lemma in Rockafellar [20] (1970) and then deduce that NUBA implies NAPS when no agent has nonnull useless vectors, we show that these conditions are actually circular. In some mathematical senses, these conditions let us to think of the circular tours of Brouwer and Kakutani fixed-point theorems. Moreover, proofs are simple and elementary. In 2010, Dana and Le Van [8], in considering the relationships between the agents beliefs and risk where there is ambiguity, propose to use the set of derivatives of utility function like no-arbitrage-price set. By using this notation, they give a description of weak no-arbitrage price and useful vector. Furthermore, they give an equivalence between non-emptiness of intersection of interior of no-arbitrage-price cones and NUBA condition, or non-emptiness of intersection of relative interior of no-arbitrage-price cones and WNMA condition. Hence, if this intersection is no empty, the existence of general equilibrium is ensured. We can prove that the existence of equilibrium ensures the no emptiness of intersection of weak no-arbitrage prices cones (definition of Dana and Le Van [8]), but do not imply the same result of intersection of interiors. The NUBA and WNMA conditions are quite strong. In this chapter, we will give an example in which NUBA and WNMA are violated, whereas the equilibrium exists. We give in this chapter the conditions based on the closeness of the gradients set and the existence of maximal value on affine sub space. Under convenable conditions, the existence of equilibrium is equivalent with the existence of a common weak no-arbitrage price. In this paper, we reconsider the equilibrium theory of assets with shortselling when there is risk and ambiguity. Using the notion of weak no-arbitrage price proposed by Dana and Le Van [8], we prove the equivalence between existence of general equilibrium and non-emptiness of intersection of no-arbitrageprice cones. 1.1 Existence of a General equilibrium with separable expected utilities We consider now the economy E with m agents i = 1, 2,..., m, a standard model of Arrow-Debreu of complete contingent security markets. There are 3
4 two dates, 0 and 1. At date 0, there is uncertainty about which state s from a state space {1, 2,..., S} will occur at date 1. At date 0, agents who are uncertain about their future endowments trade contingent claims for date 1. Agent i is characterized by an endowment e i R S of contingent claims, a consumption set R S and a probability π i = (π1 i, πi 2,..., πi S ) which represents his belief about future, πs i > 0 s and s πi s = 1. For each contingent claim (x 1, x 2,..., x S ) R S, the utility of agent i is: U i (x) = S πsu i i (x s ) with u i : R R is a concave, strictly increasing differentiable function. Observe that U i (x) = (πsu i i (x s )) S. Denote by ai and b i the limits of derivation of u i at infinity: a i = lim x + ui (x) and b i = lim x ui (x). Proposition 1 If a i < u i (x) x, or b i > u i (x) x, then P i is open. Proof: See Dana and Le Van [8]. Proposition 2 Suppose that a i < u i (x) x, or b i > u i (x) x, then we have: m P i NUBA condition U is compact there exists equilibrium. Proof: Easy. Now we consider the case utility function u i is linear at far, i.e. there exists z i such that u i (x) = z i for x > z i and u i (x) = b i for x < z i. We present here an example in which the weak no-arbitrage prices cones are closed, their intersection is no empty, the model does not satisfy NUBA or WNMA conditions, but there exists equilibrium. Example 1 We consider an economy with two agents, the number of states is S = 2. The belief of agent 1 is represented by probability π 1 1 = π1 2 = 1 2. The one of agent 2 is π 2 1 = 1 3, π2 1 = 2 3. u 1 (x) = u 2 (x) = log(x) if x [1/3, 1/2] 2x 1 log 2 if x 1/2 3x 1 log 3 if x 1/3 log(x) if x [1/3, 4/9] 9 4 x 1 + log( 4 9 ) if x 4 9 3x 1 log 3 if x 1 3 4
5 We have u 1 (+ ) = 2, u 1 ( ) = 3 and u 2 (+ ) = 9 4, u2 ( ) = 3. Therefore, the cone of no-arbitrage prices of agent 1 is P 1 = {λ(ζ 1, ζ 2 )} λ>0 with 1 ζ 1 3 2, 1 ζ The one of agent 2 is P 2 = {λ(ζ 1, ζ 2 )} λ>0 with 3 4 ζ 1 1, 3 2 ζ 2 2. The common no-arbitrage prices is the intersection of two cones P 1 P 2 = {λ(1, 3 2 )} λ>0. Denote S 1, S 2 the interiors of P 1 and P 2. We have S 1 S 2 =. If we consider useful vector w 1 = (1, 2 3 ) of agent 1, the useful vector w2 = ( 1, 2 3 ) of agent 2, observe that w 1 + w 2 = 0. Whenever w 1, w 2 are not useful vectors of agent 1 and agent 2. Our economy does not satisfies NUBA or WNMA conditions. In the next of this subsection, we will prove the existence of equilibrium un such model. Example 2 We consider an economy with two agents, the number of states is S = 2. The belief of agent 1 is represented by probability π1 1 = π1 2 = 1 2. The one of agent 2 is π1 2 = 1 3, π2 1 = 2 3. u 1 (x) = u 2 (x) = 5 2x 1 if x [ 1, 1] 2x 1 2x if x 1 3x + 1 2x if x x 1 if x [ 1, 1] 9 4 x 1 2x if x 1 3x + 1 4x 1 2 if x 1 We have u 1, u 2 are continuous, differentiable, and for all x R, 2 < u 1 (x) < 9 3, 4 < u2 (x) < 3. Therefore, the cone of no-arbitrage prices of agent 1 is P 1 = {λ(ζ 1, ζ 2 )} λ>0 with 1 < ζ 1 < 3 2, 1 < ζ 2 < 3 2. The one of agent 2 is P 2 = {λ(ζ 1, ζ 2 )} λ>0 with 3 4 < ζ 1 < 1, 3 2 < ζ 2 < 2. The weak no-arbitrage prices cones are open, and coincide with the Werner s no-arbitrage cones, S 1 and S 2. Since P 1 P 2 =, equilibrium does not exists. The agent 1 has w 1 = (1, 2 3 ) like useful vector. And the agent 2 has w 2 = ( 1, 2 3 ) like useful vector. We can verify easily that lim λ + U 1 (λw 1 ) < + and lim λ + U 2 (λw 2 ) < +. The intersection of closures P 1 P 2 = {λ(1, 3 2 )} λ>0. The limited arbitrage condition hence is satisfied. But the equilibrium does not exists. Theorem 1 In the model with separable utility, we have: m P i U is compact there exists equilibrium. Proof: Suppose that i P i. We use the Proposition??, and one of the Theorems??,??,?? to prove the compactness of utility set U and existence of equilibrium. 5
6 For the applying of the Theorem??, we prove now that if (w 1,..., w m ) satisfies i wi = 0 and w i R i for all i, for all x i, there exists λ 0 such that U i (x i + λw i ) = U i (x i + λw i ), λ λ. Take p i P i, there exists λ i > 0, x i such that p s = λ i u i (x i s). Easily, we can prove that p w i = 0 i. This implies U i (x i ) w i = 0. Hence for all i, a i S + π i sw i s + b i S π i sw i s = 0. For all i, fix x i. If u i (z) > a i for all z or u i (z) < b i for all z, then P i is open (see Dana and Le Van [8]). In this case, there is no half line in indifferent surfaces, this implies w i = 0. And the claim is evidently true. Suppose that there exists z i such that u i (z) = a i for z > z i and u i (z) = b i for z < z i. Take λ 0 big enough such that for s S + (w i ), x i s + λw i s > z i, and for s S (w i ), x i s + λw i s < z i. For all λ λ we have U i (x i + λw i ) U i (x i + λw i ) (λ λ) S πsu i i (x i s + λws)w i s i = (λ λ) a i = 0. s S + (w i ) π i sw i s + b i s S (w i ) Since w i is a useful vector of i, U i (x i + λw i ) = U i (x i + λw i ), for all λ λ. πsw i s i If there exists general equilibrium, we use the Theorem?? to prove that i P i. 2 General equilibrium in the presence of risk and ambiguity Define = {π R S + such that S π s = 1}. In this section, we consider a standard Arrow-Debreu model of complete contingent security markets like the subsection 1.1. The only different is the utility functions. In this model, each agent has a preference represented by utility function under the form: U i (x) = min π i m π s u i (x s ) with u i : R R is a concave, strictly increasing, differentiable function, and i which is a convex, compact subset of interior of. Easily, we can prove that U i is concave. We define R i the set of useful vectors of U i. Denote a i = inf z R ui (z) = u i (+ ). 6
7 b i = sup u i (z) = u i ( ). z R Lemma 1 The vector w R S is useful vector of function U i if and only if for all π i, x R S we have S π s u i (x s )w s 0. Proof: See Dana and Le Van [8]. We can now define P i the cone generated by the set {(π s u i (x s )) S }: P i = {p R S λ > 0, π i, x R S such that p s = λπ s u i (x s ) for all s}. Lemma 2 P i is a convex cone. Proof: See Dana and Le Van [8]. Lemma 3 Fix x R S. Suppose that π i satisfying U i (x) = s π su i (x s ), then the vector p = (π 1 u i (x 1 ), π 2 u i (x 2 ),..., π S u i (x S )) U i (x). Proof: Indeed, take any y R S. We have U i (y) U i (x) S S π s u i (ys) i π s u i (x s ) S π s u i (x s )(y s x s ) = p (y x). Theorem 2 Suppose that each probabilities set i is a convex hull of the set of M i points i = convex{π i 0, πi 2,..., πi M i }. Then: m P i U is compact there exists general equilibrium. Proof: Suppose that there exists general equilibrium, by using the Lemma, we have i P i. Suppose now that i P i. Take p i P i. Without lost of generality, we can assume that for each i, there exists λ i > 0, x i R S such that p s = λ i π i 0,s ui (x s ), i, s. 7
8 Firstly, we prove that U is bounded. Indeed, for all (x 1,..., x m ) A: m λ i U i (x i ) m S λ i Hence for all i we have: π i 0,su i (x i s) λ i U i (e i ) λ i U i (x i ) p (e m x j ) + j=1 m S λ i π i 0,su i (x i s) m m λ i π0,su i i (x i s)(x i s x i s) = p (e m j=1 λ j m x i ). S π j 0,s uj (x j s) j i S λ i λ j U j (e j ). π i 0,su i (x i s) We will construct a sequence of economies E 0, E 1,..., E t,.... There is m agents in each economy, each agent is represented by utility function U i t (x) = inf i t m π s u i (x i s) with the probabilities set i t is convex hull of M i t + 1 points: the probability π i 0 that we denoted above and other M i t points. For each economy E t = {U i t, i t} m, denote A t = {(x 1, x 2,..., x m ) (R S ) m m x i = e and U i (e i ) Ut i (x i )}. U t = {(v 1, v 2,..., x m ) R m x A t such that U i (e i ) v i U i t (x i )}. We denote also R i t the set of useful vectors of U i t, and W t the set W t = {(w 1, w 2,..., w m ) R 1 t R 2 t R m t m w i = 0}. We denote by Pt i the set of weak-no-arbitrage-prices of agent i in the economy E t. And we define T (E t ) as the number of probabilities which together with π0 i determine the set of ambiguity of agent i: m T (E t ) = card(mt i ). Our initial economy is E 0 : i 0 = i, M0 i = M i, and so evidently, U0 i(xi ) = U i (x i ) for all i, x i R S. If for all (w 1,..., w m ) W 0, for all π i i we have: a i πsw i s i + b i πsw i s i = 0 s S + (w i ) 8 s S (w i )
9 then we stop. Suppose that there exists (w 1, w 2,..., w m ) W 0 such that: a i πsw i s i + b i πsw i s i > 0 s S + (w i ) s S (w i ) for an i, and a probability π i i 0. Without loss of generality, we can assume that this inequality is true for agent m, and a probability π M m 0. We define economy E 1 as an economy with m agents, agent i with 1 i m 1 is represented by i 1 = i 0, U 1 i(xi ) = U0 i(xi ), for all x i. For the agent m, we define 1 is convex hull of {π0 m, πm 1,..., πm M0 m 1}. The utility function is defined as: U m 1 (x m ) = inf π m 1 = min S π s u m (x m s ) 1 k M0 m 1 S πk,s m um (x m s ). We will prove that for this new economy, U 1 = U 0. Observe that for 1 i m 1, U i 0 (xi ) = U i 1 (xi ), and U m 0 (xm ) U m 1 (x m), so U 0 U 1. We also have an observation that i P i 1 0. Indeed, πi 0 i 1, then p P i 1 for all i. The U 1 is then bounded. Denote C > 0 this upper bound. Suppose that (v 1, v 2,..., v m ) U 1. There exists (x 1, x 2,..., x m ) such that i xi = e and U i (e i ) v i U i 1 (xi ) for all 1 i m. Take λ > 0 big enough such that x m s + λw m s > z m s S + (w m ) and x m s + λw m s < z m s S (w m ). Observe that for z > z m we have u m (z) = u m (z m ) + a m (z z m ), and for z < z m we have u m (z) = u m (z m ) + b m (z z m ). Then: = + S πm m 0 m,s u m (x m s + λws m ) s S + (w m ) s S (w m ) And we have: S πm m 0 m,s u m (x m s +λws m ) = Z+λ[a m with Z is a constant: S Z = πm m 0 m,s u m (x m s ) + + s S (w m ) S πm m 0 m,s u m (x m s ) π m M m 0,s [u m (z m ) + a m (x m s + λw m s z m )] π m M m 0,s [u m (z m ) + b m (x m s + λw m s z m )] s S + (w m ) s S + (w m ) π m M m 0,s w m s +b m π m M m 0,s [u m (z m ) + b m (x m s z m )]. 9 s S (w m ) π m M m 0,s [u m (z m ) + a m (x m s z m )] π m M m 0,s w m s ]
10 Since a m s S + (w m ) πm M0 m,swm s + b m s S (w m ) πm M0 m,swm s > 0, let λ tends to infinity, we have the right hand term tends to infinity. Then for λ > 0 big enough, m πm M0 m,sum (x m s + λws m ) > C the upper bound of U 1. Hence we have min S 1 k M0 m 1 π m k,s um (x m s + λw m s ) = min 1 k M m 0 S πk,s m um (x m s + λws m ) and then U0 m (x m + λw m ) = min 1 k M0 m 1 S πk,s m um (x m s + λws m ) = U1 m (x m + λw m ). So for λ > 0 big enough, we have for all 1 i m: U i (e i ) v i U1(x i i ) U1(x i i + λw i ) = U0(x i i + λw i ). Observe that i (xi + λw i ) = i ei. Hence U 1 U 0. Now we are ready to finish the proof. The economy E 1 has U 1 = U 0. Since π i 0 i 1 for all i, we have ip i 1. This implies U 1 is bounded. Observe that T (E 1 ) = T (E 0 ) 1. If in the economy E 1, there exists w W 1 such that i and π i i 1 satisfying a i s S + (w i ) π i sw i s + b i s S (w i ) π i sw i s > 0 then by the same argument, we can construct a new economy E 2, and so on. After each step, the number of probabilities whose determine the ambiguity set of agents diminish by 1: T (E t+1 ) = T (E t ) 1. Since there exists a finite probabilities determining i, so the procedure has to stop at step T. Hence we have T + 1 economy, E 0,..., E T. The utility sets are equal U 0 = U 1 = = U T. The economy E T satisfies the propriety: for all w W T, for all π i i T we have a i πsw i s i + b i πsw i s i = 0. s S + (w i ) s S (w i ) Now we will prove that E T satisfies Inconsequential arbitrage condition. Suppose that (w 1,..., w m ) W T, and {(x 1 n,..., x m n )} A, a positif sequence λ n 0 such that lim n λ n x i n = w i. Take ϵ > 0 arbitrarily, for n big enough, for s S + (w i ), we have x i n,s ϵw i s > z i, and for s S (w i ) we have x i n,s ϵw i s < z i. For every n, there exists π i n i T such that U i T (xi n) = s πi n,su i (x i n,s ϵw i s). 10
11 And we have for n big enough: U i (x i n ϵw i ) U i (x i n) S S πn,su i i (x i n,s ϵws) i πn,su i i (x i n,s) m πn,s( ϵw i s)u i i (x i n,s ϵws) i = ϵ[a i πn,sw i s i + b i = 0. s S + (w i ) s S (w i ) πn,sw i s] i The economy E T satisfies IC condition, then U T is compact, then U = U T is compact. The our initial economy has general equilibrium. References [1] Allouch, N., C. Le Van and F.H. Page (2002): The geometry of arbitrage and the existence of competitive equilibrium. Journal of Mathematical Economics 38, [2] Arrow, K. J., L. Hurwicz, and H. Uzawa (1958): Programming in Linear spaces. Stanford University Press, Stanford, California. [3] Brown, D. and J. Werner (1995): Existence theorems in the classical asset pricing model. Econometrica 59, [4] Brown, D. and J. Werner (1995): Arbitrage and existence of equilibrium in infinite asset markets. Review of Economic Studies, 62, [5] Cheng, H. (1991): Asset market equilibrium in infinite dimensional complete markets. Journal of Mathematical Economics, 20, [6] Chichilnisky, G. (1997): Topological invariant for competitive markets, Journal of Mathematical Economics, 28, [7] Dana, R. A and C. Le Van (1996): Asset Equilibria in L p Spaces: A Duality Approach. Journal of Mathematical Economics, 25, [8] Dana, R. A and C. Le Van (2010): Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling. Journal of Economic Theory, 145, [9] Dana, R.A, C. Le Van and F. Magnien (1997): General Equilibirum in asset markets with or without short-selling. Journal of Mathematical Analysis and Applications 206,
12 [10] Dana, R.A, C.Le Van and F.Magnien (1999): On the different notions of arbitrage and existence of equilibrium. Journal of Economic Theory 86, [11] Dunford, N. and J. T. Schwartz (1966), Linear Operators, Part I: general Theory, 3rd ed., Interscience, New York. [12] Geistdorfer-Florenzano, M. (1982): The Gale-Nikaido-Debreu Lemma and the Existence of Transitive Equilibrium With or Without the Free Disposal Assumption. Journal of Mathematical Economics 9, [13] Hart, O. (1974): On the Existence of an Equilibrium in a Securities Model. Journal of Economic Theory 9, [14] Le Van, C. (1996); Complete characterization of Yannelis-Zame and Chichilnisky-Kalman-Mas-Colell properness conditions on preferences for separable concave functions defined in L p + and Lp. Economic Theory, 8, [15] Le Van, C. and D.H. Truong Xuan (2001):Asset market equilibrium in L p spaces with separable utilities. Journal of Mathematical Economics 36, [16] Nielsen, L. T (1989): Asset market equilibrium with short-selling. Review of Economic Studies, 41, [17] Page, F.H (1987): On equilibrium in Hart s securities exchange model. Journal of Economic Theory 41, [18] Page, F.H. Jr, and M.H. Wooders, (1996): A necessary and sufficient condition for compactness of individually rational and feasible outcomes and existence of an equilibrium. Economics Letters 52, [19] Page, F.H. Jr, M.H. Wooders and P.K. Monteiro (2000): Inconsequential arbitrage. Journal of Mathematical Economics 34, [20] Rockafellar, R.T (1970): Convex Analysis, Princeton University Press, Princetion, New-Jersey. [21] Werner, J. (1987): Arbitrage and the Existence of Competitive Equilibrium. Econometrica 55, [22] Won, D., and N.C. Yannelis: Equilibrium Theory with Unbounded Consumption Sets and Non Ordered Preferences, Part I. Journal of Mathematical Economics 44,
Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities
Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities Thai Ha-Huy, Cuong Le Van, Nguyen Manh Hung To cite this version: Thai Ha-Huy,
More informationExistence of equilibrium with unbounded short sales: A new approach
Existence of equilibrium with unbounded short sales: A new approach Vladimir Danilov, CEMI, Moscow Gleb Koshevoy, CEMI, Moscow Myrna Wooders Department of Economics, Vanderbilt University myrnawooders.com
More informationArbitrage and global cones: Another counterexample*
Soc Choice Welfare (999) 6: 7±46 Arbitrage and global cones: Another counterexample* Paulo K. Monteiro, Frank H. Page, Jr.,**, Myrna H. Wooders,*** CORE, 4 voie du Roman Pays, B-48 Louvain-la-Neuve, Belgium
More informationSocial Welfare Functions for Sustainable Development
Social Welfare Functions for Sustainable Development Thai Ha-Huy, Cuong Le Van September 9, 2015 Abstract Keywords: criterion. anonymity; sustainable development, welfare function, Rawls JEL Classification:
More informationWalras and dividends equilibrium with possibly satiated consumers
Walras and dividends equilibrium with possibly satiated consumers Nizar Allouch Department of Economics Queen Mary, University of London Mile End Rd, E1 4NS London, United Kingdom n.allouch@qmul.ac.uk
More informationEquilibrium Theory with Satiable and Non-Ordered Preferences
Equilibrium Theory with Satiable and Non-Ordered Preferences Dong Chul Won College of Business Administration Ajou University Woncheon-dong, Yeongtong-Gu, Suwon, Kyunggi, 443-749 South Korea Email : dcwon@ajou.ac.kr
More informationAsset market equilibrium with short-selling and differential information
Asset market equilibrium with short-selling and differential information Wassim Daher Cermsem, Université Paris-1 e-mail: daher@univ-paris1.fr V. Filipe Martins-da-Rocha Ceremade, Université Paris Dauphine
More informationRisky Arbitrage, Asset Prices, and Externalities
Risy Arbitrage, Asset Prices, and Externalities Cuong Le Van, Fran H. Page, Myrna H. Wooders To cite this version: Cuong Le Van, Fran H. Page, Myrna H. Wooders. Risy Arbitrage, Asset Prices, and Externalities.
More informationFinancial asset bubble with heterogeneous agents and endogenous borrowing constraints
Financial asset bubble with heterogeneous agents and endogenous borrowing constraints Cuong Le Van IPAG Business School, CNRS, Paris School of Economics Ngoc-Sang Pham EPEE, University of Evry Yiannis
More informationAsset market equilibrium with short-selling and differential information
Asset market equilibrium with short-selling and differential information Wassim Daher Cermsem, Université Paris-1 e-mail: daher@univ-paris1.fr V. Filipe Martins-da-Rocha Ceremade, Université Paris Dauphine
More informationAsset market equilibrium with short-selling and differential information
Asset market equilibrium with short-selling and differential information Wassim Daher, V. Filipe Martins-Da-Rocha, Yiannis Vailakis To cite this version: Wassim Daher, V. Filipe Martins-Da-Rocha, Yiannis
More informationMarkets and games: a simple equivalence among the core, equilibrium and limited arbitrage
MPRA Munich Personal RePEc Archive Markets and games: a simple equivalence among the core, equilibrium and limited arbitrage Graciela Chichilnisky 1996 Online at http://mpra.ub.uni-muenchen.de/8492/ MPRA
More informationBoundary Behavior of Excess Demand Functions without the Strong Monotonicity Assumption
Boundary Behavior of Excess Demand Functions without the Strong Monotonicity Assumption Chiaki Hara April 5, 2004 Abstract We give a theorem on the existence of an equilibrium price vector for an excess
More informationDocuments de Travail du Centre d Economie de la Sorbonne
Documents de Travail du Centre d Economie de la Sorbonne Intertemporal equilibrium with production: bubbles and efficiency Stefano BOSI, Cuong LE VAN, Ngoc-Sang PHAM 2014.43 Maison des Sciences Économiques,
More informationUnlinked Allocations in an Exchange Economy with One Good and One Bad
Unlinked llocations in an Exchange Economy with One Good and One ad Chiaki Hara Faculty of Economics and Politics, University of Cambridge Institute of Economic Research, Hitotsubashi University pril 16,
More informationTitle: The existence of equilibrium when excess demand obeys the weak axiom
Title: The existence of equilibrium when excess demand obeys the weak axiom Abstract: This paper gives a non-fixed point theoretic proof of equilibrium existence when the excess demand function of an exchange
More informationCould Nash equilibria exist if the payoff functions are not quasi-concave?
Could Nash equilibria exist if the payoff functions are not quasi-concave? (Very preliminary version) Bich philippe Abstract In a recent but well known paper (see [11]), Reny has proved the existence of
More informationNo Equilibrium in Infinite Economies: Two Examples*
JOURNAL OF ECONOMIC THEORY 34, 180-186 (1984) No Equilibrium in Infinite Economies: Two Examples* AHMET ALKAN Bogaripi Universitesi, Istanbul, Turkey Received December 20, 1982; revised October 14. 1983
More informationEquilibrium of a production economy with unbounded attainable allocation set
Equilibrium of a production economy with unbounded attainable allocation set Senda Ounaies, Jean-Marc Bonnisseau, Souhail Chebbi To cite this version: Senda Ounaies, Jean-Marc Bonnisseau, Souhail Chebbi.
More informationThe Existence of Equilibrium in. Infinite-Dimensional Spaces: Some Examples. John H. Boyd III
The Existence of Equilibrium in Infinite-Dimensional Spaces: Some Examples John H. Boyd III April 1989; Updated June 1995 Abstract. This paper presents some examples that clarify certain topological and
More informationEquilibrium theory with asymmetric information and with infinitely many commodities
Journal of Economic Theory 141 (2008) 152 183 www.elsevier.com/locate/jet Equilibrium theory with asymmetric information and with infinitely many commodities Konrad Podczeck a, Nicholas C. Yannelis b,
More informationEconomics 201B Second Half. Lecture 10, 4/15/10. F (ˆp, ω) =ẑ(ˆp) when the endowment is ω. : F (ˆp, ω) =0}
Economics 201B Second Half Lecture 10, 4/15/10 Debreu s Theorem on Determinacy of Equilibrium Definition 1 Let F : R L 1 + R LI + R L 1 be defined by F (ˆp, ω) =ẑ(ˆp) when the endowment is ω The Equilibrium
More informationarxiv: v2 [math.pr] 12 May 2013
arxiv:1304.3284v2 [math.pr] 12 May 2013 Existence and uniqueness of Arrow-Debreu equilibria with consumptions in L 0 + Dmitry Kramkov Carnegie Mellon University and University of Oxford, Department of
More informationProduction equilibria in vector lattices
Production equilibria in vector lattices Monique FLORENZANO 1, Valeri M. MARAKULIN 2 November 9, 1999 1 CNRS-CERMSEM, Université Paris 1, 106-112 Boulevard de l Hôpital, 75647 Paris Cedex 13, France, e-mail:monique.florenzano@univ-paris1.fr
More informationMarket Equilibrium and the Core
Market Equilibrium and the Core Ram Singh Lecture 3-4 September 22/25, 2017 Ram Singh (DSE) Market Equilibrium September 22/25, 2017 1 / 19 Market Exchange: Basics Let us introduce price in our pure exchange
More informationNotes on Recursive Utility. Consider the setting of consumption in infinite time under uncertainty as in
Notes on Recursive Utility Consider the setting of consumption in infinite time under uncertainty as in Section 1 (or Chapter 29, LeRoy & Werner, 2nd Ed.) Let u st be the continuation utility at s t. That
More information4 Lecture Applications
4 Lecture 4 4.1 Applications We now will look at some of the applications of the convex analysis we have learned. First, we shall us a separation theorem to prove the second fundamental theorem of welfare
More informationDuality. for The New Palgrave Dictionary of Economics, 2nd ed. Lawrence E. Blume
Duality for The New Palgrave Dictionary of Economics, 2nd ed. Lawrence E. Blume Headwords: CONVEXITY, DUALITY, LAGRANGE MULTIPLIERS, PARETO EFFICIENCY, QUASI-CONCAVITY 1 Introduction The word duality is
More informationRational Expectations Equilibrium in Economies with Uncertain Delivery
Rational Expectations Equilibrium in Economies with Uncertain Delivery João Correia-da-Silva Faculdade de Economia. Universidade do Porto. PORTUGAL. Carlos Hervés-Beloso RGEA. Facultad de Económicas. Universidad
More informationMathematical models in economy. Short descriptions
Chapter 1 Mathematical models in economy. Short descriptions 1.1 Arrow-Debreu model of an economy via Walras equilibrium problem. Let us consider first the so-called Arrow-Debreu model. The presentation
More informationComonotonicity, Efficient Risk-sharing and Equilibria in markets with short-selling for concave law-invariant utilities
Comonotonicity, Efficient Risk-sharing and Equilibria in markets with short-selling for concave law-invariant utilities Rose-Anne Dana To cite this version: Rose-Anne Dana. Comonotonicity, Efficient Risk-sharing
More informationCourse Handouts: Pages 1-20 ASSET PRICE BUBBLES AND SPECULATION. Jan Werner
Course Handouts: Pages 1-20 ASSET PRICE BUBBLES AND SPECULATION Jan Werner European University Institute May 2010 1 I. Price Bubbles: An Example Example I.1 Time is infinite; so dates are t = 0,1,2,...,.
More informationRational Expectations Equilibrium in Economies with Uncertain Delivery
Rational Expectations Equilibrium in Economies with Uncertain Delivery João Correia-da-Silva Faculdade de Economia. Universidade do Porto. PORTUGAL. Carlos Hervés-Beloso RGEA. Facultad de Económicas. Universidad
More informationIncentive compatibility of rational expectations equilibrium in large economies: a counterexample
Econ Theory Bull (203) :3 0 DOI 0.007/s40505-03-000-8 SHORT PAPER Incentive compatibility of rational expectations equilibrium in large economies: a counterexample Yeneng Sun Lei Wu Nicholas C. Yannelis
More informationOptimal control in infinite horizon problems : a Sobolev space approach
Optimal control in infinite horizon problems : a Sobolev space approach Cuong Le Van, Raouf Boucekkine, Cagri Saglam To cite this version: Cuong Le Van, Raouf Boucekkine, Cagri Saglam. Optimal control
More informationCompetitive Market Mechanisms as Social Choice Procedures
Competitive Market Mechanisms as Social Choice Procedures Peter J. Hammond 1 Department of Economics, Stanford University, CA 94305-6072, U.S.A. 1 Introduction and outline 1.1 Markets and social choice
More informationOn the survival and Irreductibility Assumptions for Financial Markets with Nominal Assets
ANNALES D ÉCONOMIE ET DE STATISTIQUE. N 82 2006 On the survival and Irreductibility Assumptions for Financial Markets with Nominal Assets Styliani KANELLOPOULOU*, Abdelkrim SEGHIR** and Leila TRIKI***
More informationEconomics 201B. Nonconvex Preferences and Approximate Equilibria
Economics 201B Nonconvex Preferences and Approximate Equilibria 1 The Shapley-Folkman Theorem The Shapley-Folkman Theores an elementary result in linear algebra, but it is apparently unknown outside the
More informationA Simple No-Bubble Theorem for Deterministic Sequential Economies
A Simple No-Bubble Theorem for Deterministic Sequential Economies Takashi Kamihigashi September 28, 2015 Abstract We show a simple no-bubble theorem that applies to a wide range of deterministic sequential
More informationNotes on Alvarez and Jermann, "Efficiency, Equilibrium, and Asset Pricing with Risk of Default," Econometrica 2000
Notes on Alvarez Jermann, "Efficiency, Equilibrium, Asset Pricing with Risk of Default," Econometrica 2000 Jonathan Heathcote November 1st 2005 1 Model Consider a pure exchange economy with I agents one
More informationOn the existence, efficiency and bubbles of a Ramsey equilibrium with endogenous labor supply and borrowing constraints
On the existence, efficiency and bubbles of a Ramsey equilibrium with endogenous labor supply and borrowing constraints Robert Becker, Stefano Bosi, Cuong Le Van and Thomas Seegmuller September 22, 2011
More informationCore equivalence and welfare properties without divisible goods
Core equivalence and welfare properties without divisible goods Michael Florig Jorge Rivera Cayupi First version November 2001, this version May 2005 Abstract We study an economy where all goods entering
More informationA remark on discontinuous games with asymmetric information and ambiguity
Econ Theory Bull DOI 10.1007/s40505-016-0100-5 RESEARCH ARTICLE A remark on discontinuous games with asymmetric information and ambiguity Wei He 1 Nicholas C. Yannelis 1 Received: 7 February 2016 / Accepted:
More informationExistence, Incentive Compatibility and Efficiency of the Rational Expectations Equilibrium
Existence, ncentive Compatibility and Efficiency of the Rational Expectations Equilibrium Yeneng Sun, Lei Wu and Nicholas C. Yannelis Abstract The rational expectations equilibrium (REE), as introduced
More informationCompetitive Equilibrium
Competitive Equilibrium Econ 2100 Fall 2017 Lecture 16, October 26 Outline 1 Pareto Effi ciency 2 The Core 3 Planner s Problem(s) 4 Competitive (Walrasian) Equilibrium Decentralized vs. Centralized Economic
More informationEconomics 501B Final Exam Fall 2017 Solutions
Economics 501B Final Exam Fall 2017 Solutions 1. For each of the following propositions, state whether the proposition is true or false. If true, provide a proof (or at least indicate how a proof could
More informationKevin X.D. Huang and Jan Werner. Department of Economics, University of Minnesota
Implementing Arrow-Debreu Equilibria by Trading Innitely-Lived Securities. Kevin.D. Huang and Jan Werner Department of Economics, University of Minnesota February 2, 2000 1 1. Introduction Equilibrium
More informationOn the Existence of Price Equilibrium in Economies with Excess Demand Functions
On the Existence of Price Equilibrium in Economies with Excess Demand Functions Guoqiang Tian Abstract This paper provides a price equilibrium existence theorem in economies where commodities may be indivisible
More informationRepresentation of TU games by coalition production economies
Working Papers Institute of Mathematical Economics 430 April 2010 Representation of TU games by coalition production economies Tomoki Inoue IMW Bielefeld University Postfach 100131 33501 Bielefeld Germany
More informationMicroeconomics, Block I Part 2
Microeconomics, Block I Part 2 Piero Gottardi EUI Sept. 20, 2015 Piero Gottardi (EUI) Microeconomics, Block I Part 2 Sept. 20, 2015 1 / 48 Pure Exchange Economy H consumers with: preferences described
More informationPositive Theory of Equilibrium: Existence, Uniqueness, and Stability
Chapter 7 Nathan Smooha Positive Theory of Equilibrium: Existence, Uniqueness, and Stability 7.1 Introduction Brouwer s Fixed Point Theorem. Let X be a non-empty, compact, and convex subset of R m. If
More informationEquilibria in Economies with Vector Title Non-Ordered Preferences. Citation Hitotsubashi Journal of Economics,
Equilibria in Economies with Vector Title Non-Ordered Preferences Author(s) Lee, Sangjik Citation Hitotsubashi Journal of Economics, Issue 2005-06 Date Type Departmental Bulletin Paper Text Version publisher
More informationElimination of Arbitrage States in Asymmetric Information Models
Elimination of Arbitrage States in Asymmetric Information Models Bernard CORNET, Lionel DE BOISDEFFRE Abstract In a financial economy with asymmetric information and incomplete markets, we study how agents,
More information1 General Equilibrium
1 General Equilibrium 1.1 Pure Exchange Economy goods, consumers agent : preferences < or utility : R + R initial endowments, R + consumption bundle, =( 1 ) R + Definition 1 An allocation, =( 1 ) is feasible
More informationMultimarket Oligopolies with Restricted Market Access
Multimarket Oligopolies with Restricted Market Access Tobias Harks 1 and Max Klimm 2 1 Department of Quantitative Economics, Maastricht University, the Netherlands. t.harks@maastrichtuniversity.nl 2 Department
More informationMarket environments, stability and equlibria
Market environments, stability and equlibria Gordan Žitković Department of Mathematics University of exas at Austin Austin, Aug 03, 2009 - Summer School in Mathematical Finance he Information Flow two
More informationUncertainty Per Krusell & D. Krueger Lecture Notes Chapter 6
1 Uncertainty Per Krusell & D. Krueger Lecture Notes Chapter 6 1 A Two-Period Example Suppose the economy lasts only two periods, t =0, 1. The uncertainty arises in the income (wage) of period 1. Not that
More information1 Second Welfare Theorem
Econ 701B Fall 018 University of Pennsylvania Recitation : Second Welfare Theorem Xincheng Qiu (qiux@sas.upenn.edu) 1 Second Welfare Theorem Theorem 1. (Second Welfare Theorem) An economy E satisfies (A1)-(A4).
More informationAre Probabilities Used in Markets? 1
Journal of Economic Theory 91, 8690 (2000) doi:10.1006jeth.1999.2590, available online at http:www.idealibrary.com on NOTES, COMMENTS, AND LETTERS TO THE EDITOR Are Probabilities Used in Markets? 1 Larry
More informationAn elementary proof of the Knaster-Kuratowski- Mazurkiewicz-Shapley Theorem*
Econ. Theory 4, 467-471 (1994) Economic Theory 9 Springer-Verlag 1994 An elementary proof of the Knaster-Kuratowski- Mazurkiewicz-Shapley Theorem* Stefan Krasa and Nicholas C. Yannelis Department of Economics,
More informationON GENERAL BEST PROXIMITY PAIRS AND EQUILIBRIUM PAIRS IN FREE GENERALIZED GAMES 1. Won Kyu Kim* 1. Introduction
JOURNAL OF THE CHUNGCHEONG MATHEMATICAL SOCIETY Volume 19, No.1, March 2006 ON GENERAL BEST PROXIMITY PAIRS AND EQUILIBRIUM PAIRS IN FREE GENERALIZED GAMES 1 Won Kyu Kim* Abstract. In this paper, using
More informationEquilibrium in the growth model with an endogenous labor-leisure choice
Equilibrium in the growth model with an endogenous labor-leisure choice Aditya Goenka Manh-Hung Nguyen April 6, 2011 Abstract We prove the existence of competitive equilibrium in an optimal growth model
More informationTijmen Daniëls Universiteit van Amsterdam. Abstract
Pure strategy dominance with quasiconcave utility functions Tijmen Daniëls Universiteit van Amsterdam Abstract By a result of Pearce (1984), in a finite strategic form game, the set of a player's serially
More informationEconomics 200A part 2 UCSD Fall quarter 2011 Prof. R. Starr Mr. Troy Kravitz1 FINAL EXAMINATION SUGGESTED ANSWERS
Economics 200A part 2 UCSD Fall quarter 2011 Prof. R. Starr Mr. Troy Kravitz1 FINAL EXAMINATION SUGGESTED ANSWERS This exam is take-home, open-book, open-notes. You may consult any published source (cite
More informationWORKING PAPER NO. 443
WORKING PAPER NO. 443 Cones with Semi-interior Points and Equilibrium Achille Basile, Maria Gabriella Graziano Maria Papadaki and Ioannis A. Polyrakis May 2016 University of Naples Federico II University
More informationA Simple No-Bubble Theorem for Deterministic Sequential Economies
A Simple No-Bubble Theorem for Deterministic Sequential Economies Takashi Kamihigashi March 26, 2016 Abstract We show a simple no-bubble theorem that applies to a wide range of deterministic sequential
More information18 U-Shaped Cost Curves and Concentrated Preferences
18 U-Shaped Cost Curves and Concentrated Preferences 18.1 U-Shaped Cost Curves and Concentrated Preferences In intermediate microeconomic theory, a firm s cost function is often described as U-shaped.
More informationCore. Ichiro Obara. December 3, 2008 UCLA. Obara (UCLA) Core December 3, / 22
Ichiro Obara UCLA December 3, 2008 Obara (UCLA) Core December 3, 2008 1 / 22 in Edgeworth Box Core in Edgeworth Box Obara (UCLA) Core December 3, 2008 2 / 22 in Edgeworth Box Motivation How should we interpret
More informationThe Value of Information Under Unawareness
The Under Unawareness Spyros Galanis University of Southampton January 30, 2014 The Under Unawareness Environment Agents invest in the stock market Their payoff is determined by their investments and the
More informationArbitrage and Equilibrium with Portfolio Constraints
Arbitrage and Equilibrium with Portfolio Constraints Bernard Cornet Ramu Gopalan October 25, 2009 Abstract We consider a multiperiod financial exchange economy with nominal assets and restricted participation,
More informationPossibility functions and regular economies
Possibility functions and regular economies Jean-Marc Bonnisseau 1 CES, Université Paris 1 Panthéon-Sorbonne CNRS Elena L. del Mercato 2 CSEF, Università degli Studi di Salerno Abstract We consider pure
More informationGeneral equilibrium with externalities and tradable licenses
General equilibrium with externalities and tradable licenses Carlos Hervés-Beloso RGEA. Universidad de Vigo. e-mail: cherves@uvigo.es Emma Moreno-García Universidad de Salamanca. e-mail: emmam@usal.es
More informationSecond Welfare Theorem
Second Welfare Theorem Econ 2100 Fall 2015 Lecture 18, November 2 Outline 1 Second Welfare Theorem From Last Class We want to state a prove a theorem that says that any Pareto optimal allocation is (part
More informationWaseda Economics Working Paper Series
Waseda Economics Working Paper Series Testable implications of the core in market game with transferable utility AGATSUMA, Yasushi Graduate School of Economics Waseda University Graduate School of Economics
More informationEconomic Core, Fair Allocations, and Social Choice Theory
Chapter 9 Nathan Smooha Economic Core, Fair Allocations, and Social Choice Theory 9.1 Introduction In this chapter, we briefly discuss some topics in the framework of general equilibrium theory, namely
More informationSubdifferentiability and the Duality Gap
Subdifferentiability and the Duality Gap Neil E. Gretsky (neg@math.ucr.edu) Department of Mathematics, University of California, Riverside Joseph M. Ostroy (ostroy@econ.ucla.edu) Department of Economics,
More informationThe Fundamental Welfare Theorems
The Fundamental Welfare Theorems The so-called Fundamental Welfare Theorems of Economics tell us about the relation between market equilibrium and Pareto efficiency. The First Welfare Theorem: Every Walrasian
More informationECON FINANCIAL ECONOMICS
ECON 337901 FINANCIAL ECONOMICS Peter Ireland Boston College Spring 2018 These lecture notes by Peter Ireland are licensed under a Creative Commons Attribution-NonCommerical-ShareAlike 4.0 International
More informationLecture Notes MATHEMATICAL ECONOMICS
Lecture Notes MATHEMATICAL ECONOMICS A. Neyman Fall 2006, Jerusalem The notes may/will be updated in few days. Please revisit to check for the updated version. Please email comments to aneyman@math.huji.ac.il
More informationLecture Notes October 18, Reading assignment for this lecture: Syllabus, section I.
Lecture Notes October 18, 2012 Reading assignment for this lecture: Syllabus, section I. Economic General Equilibrium Partial and General Economic Equilibrium PARTIAL EQUILIBRIUM S k (p o ) = D k k (po
More informationFixed Point Theorems in Hausdorff Topological Vector Spaces and Economic Equilibrium Theory
Fixed Point Theorems in Hausdorff Topological Vector Spaces and Economic Equilibrium Theory Ken URAI and Akihiko YOSHIMACHI October, 2003 Abstract The aim of this paper is to develop fixed point theorems
More informationArbitrage and Equilibrium in Economies with Infinitely Many Securities and Commodities
Arbitrage and Equilibrium in Economies with Infinitely Many Securities and Commodities by Graciela Chichilnisky, Columbia University Geoffrey M. Heal, Columbia Business School December 1991, Revised July
More informationEconomic Growth: Lecture 13, Stochastic Growth
14.452 Economic Growth: Lecture 13, Stochastic Growth Daron Acemoglu MIT December 10, 2013. Daron Acemoglu (MIT) Economic Growth Lecture 13 December 10, 2013. 1 / 52 Stochastic Growth Models Stochastic
More informationThe Max-Convolution Approach to Equilibrium Models with Indivisibilities 1
The Max-Convolution Approach to Equilibrium Models with Indivisibilities 1 Ning Sun 2 and Zaifu Yang 3 Abstract: This paper studies a competitive market model for trading indivisible commodities. Commodities
More informationExistence of Equilibria with a Tight Marginal Pricing Rule
Existence of Equilibria with a Tight Marginal Pricing Rule J.-M. Bonnisseau and B. Cornet December 1, 2009 Abstract This paper deals with the existence of marginal pricing equilibria when it is defined
More informationContracts under Asymmetric Information
Contracts under Asymmetric Information 1 I Aristotle, economy (oiko and nemo) and the idea of exchange values, subsequently adapted by Ricardo and Marx. Classical economists. An economy consists of a set
More informationCompetitive Equilibria in a Comonotone Market
Competitive Equilibria in a Comonotone Market 1/51 Competitive Equilibria in a Comonotone Market Ruodu Wang http://sas.uwaterloo.ca/ wang Department of Statistics and Actuarial Science University of Waterloo
More informationSubstitute Valuations, Auctions, and Equilibrium with Discrete Goods
Substitute Valuations, Auctions, and Equilibrium with Discrete Goods Paul Milgrom Bruno Strulovici December 17, 2006 Abstract For economies in which goods are available in several (discrete) units, this
More informationChapter 1 - Preference and choice
http://selod.ensae.net/m1 Paris School of Economics (selod@ens.fr) September 27, 2007 Notations Consider an individual (agent) facing a choice set X. Definition (Choice set, "Consumption set") X is a set
More informationExhaustible Resources and Economic Growth
Exhaustible Resources and Economic Growth Cuong Le Van +, Katheline Schubert + and Tu Anh Nguyen ++ + Université Paris 1 Panthéon-Sorbonne, CNRS, Paris School of Economics ++ Université Paris 1 Panthéon-Sorbonne,
More informationNo arbitrage condition and existence of equilibrium in infinite or finite dimension with expected risk averse utilities
DEPOCEN Workng Paper Seres No. 28/2 No arbtrage condton and exstence of equlbrum n nfnte or fnte dmenson wth expected rsk averse utltes Tha Ha Huy * Cuong Le Van ** Manh Hung Nguyen *** * Unversté Pars
More informationShort correct answers are sufficient and get full credit. Including irrelevant (though correct) information in an answer will not increase the score.
Economics 200B Part 1 UCSD Winter 2014 Prof. R. Starr, Ms. Isla Globus-Harris Final Exam 1 Your Name: SUGGESTED ANSWERS Please answer all questions. Each of the six questions marked with a big number counts
More informationVolume 29, Issue 3. Existence of competitive equilibrium in economies with multi-member households
Volume 29, Issue 3 Existence of competitive equilibrium in economies wit multi-member ouseolds Noriisa Sato Graduate Scool of Economics, Waseda University Abstract Tis paper focuses on te existence of
More informationAssortative Matching in Two-sided Continuum Economies
Assortative Matching in Two-sided Continuum Economies Patrick Legros and Andrew Newman February 2006 (revised March 2007) Abstract We consider two-sided markets with a continuum of agents and a finite
More informationMULTIPLE-BELIEF RATIONAL-EXPECTATIONS EQUILIBRIA IN OLG MODELS WITH AMBIGUITY
MULTIPLE-BELIEF RATIONAL-EXPECTATIONS EQUILIBRIA IN OLG MODELS WITH AMBIGUITY by Kiyohiko G. Nishimura Faculty of Economics The University of Tokyo and Hiroyuki Ozaki Faculty of Economics Tohoku University
More informationDiscussion Papers in Economics
Discussion Papers in Economics No. 10/11 A General Equilibrium Corporate Finance Theorem for Incomplete Markets: A Special Case By Pascal Stiefenhofer, University of York Department of Economics and Related
More informationPatryk Pagacz. Equilibrium theory in infinite dimensional Arrow-Debreu s model. Uniwersytet Jagielloński
Patryk Pagacz Uniwersytet Jagielloński Equilibrium theory in infinite dimensional Arrow-Debreu s model Praca semestralna nr 1 (semestr zimowy 2010/11) Opiekun pracy: Marek Kosiek Uniwersytet Jagielloński
More informationA Necessary and Sufficient Condition for Convergence of Statistical to Strategic Equilibria of Market Games
A Necessary and Sufficient Condition for Convergence of Statistical to Strategic Equilibria of Market Games Dimitrios P. Tsomocos Dimitris Voliotis Abstract In our model, we treat a market game where traders
More informationRegularity of competitive equilibria in a production economy with externalities
Regularity of competitive equilibria in a production economy with externalities Elena del Mercato Vincenzo Platino Paris School of Economics - Université Paris 1 Panthéon Sorbonne QED-Jamboree Copenhagen,
More informationIntroduction to General Equilibrium: Framework.
Introduction to General Equilibrium: Framework. Economy: I consumers, i = 1,...I. J firms, j = 1,...J. L goods, l = 1,...L Initial Endowment of good l in the economy: ω l 0, l = 1,...L. Consumer i : preferences
More information