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Incomplete Markets with Endogenous Portfolio Constraints and Redundant Assets

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Authors
Hahn, Guangsug
Issue Date
2014-10
Publisher
Institute of Economic Research, Seoul National University
Citation
Seoul Journal of Economics, Vol.27 No.4, pp. 469-488
Keywords
Incomplete marketsCompetitive equilibriumEndogenous portfolio constraintsRedundant assetsConstrained arbitrage
Abstract
This paper shows that a competitive equilibrium exists in an exchange economy with incomplete financial markets where redundant assets are traded and the asset trading of each agent is subject to endogenous portfolio constraints. The set of budget-feasible portfolios need not be bounded in the presence of redundant assets. To address this problem, we impose the positive semi-independence condition on individual portfolio constraints.
ISSN
1225-0279
Language
English
URI
https://hdl.handle.net/10371/93667
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.27 no.1~4 (2014)
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