General equilibrium of financial markets

Monique Florenzano (1)

1 CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique

The purpose of this paper is to explain the role of financial assets in allowing individual agents of an economy to make at time 0 some limited commitments into the future which, at some extent, redistribute their revenue among several time periods and different states of the world. It is done studying in different contexts the general equilibrium of a simple two-period exchange model, under weaker assumptions and in a more general setting than the ones usually described in the literature.
Several equilibrium existence theorems are stated and proved. Even in this simple framework, they often require a rather sophisticated mathematical background and are of a deep economic significance. Moreover, they are a necessary step towards further developments (including infinite horizon, continuous time, continuum of states of the world, defaut and collateral securities, ...).

Mots clés: general equilibrium; incomplete financial markets; arbitrage; numeraire assets; real assets; pseudo-equilibrium

Domaines: Economies et finances; Analyse fonctionnelle [math.FA]

Monique Florenzano. General equilibrium of financial markets. 1999. ⟨halshs-00085543⟩