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On the rank of payoff matrices with long-term assets

Abstract : We consider a stochastic financial exchange economy with a finite date-event tree representing time and uncertainty and a nominal financial structure with possibly long-term assets. We exhibit a sufficient condition under which the payoff matrix and the full payoff matrix have the same rank. This generalizes previous results of Angeloni-Cornet and Magill-Quinzii involving only short-term assets. We then derive existence results with assumptions only based on the fundamentals of the economy.
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https://halshs.archives-ouvertes.fr/halshs-00659183
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Submitted on : Thursday, January 12, 2012 - 12:00:53 PM
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  • HAL Id : halshs-00659183, version 1

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Jean-Marc Bonnisseau, Achis Chery. On the rank of payoff matrices with long-term assets. 2011. ⟨halshs-00659183⟩

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