S-Space College of Social Sciences (사회과학대학) Institute of Economics Research (경제연구소) Seoul Journal of Economics Seoul Journal of Economics vol.27 no.1~4 (2014)
Incomplete Markets with Endogenous Portfolio Constraints and Redundant Assets
- Hahn, Guangsug
- Issue Date
- Seoul Journal of Economics, Vol.27 No.4, pp. 469-488
- Incomplete markets; Competitive equilibrium; Endogenous portfolio constraints; Redundant assets; Constrained arbitrage
- 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.