Publications
Detailed Information
Incomplete Markets with Endogenous Portfolio Constraints and Redundant Assets
Cited 0 time in
Web of Science
Cited 0 time in Scopus
- Authors
- Issue Date
- 2014-10
- Citation
- Seoul Journal of Economics, Vol.27 No.4, pp. 469-488
- Keywords
- Incomplete markets ; Competitive equilibrium ; Endogenous portfolio constraints ; Redundant assets ; Constrained 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
- Files in This Item:
Item View & Download Count
Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.