Continuity ofmarketable payoffs with re-trading
Jean-Marc Bonnisseau
(1, 2)
,
Achis Chery
(3, 4)
Jean-Marc Bonnisseau
- Fonction : Auteur
- PersonId : 171804
- IdHAL : jean-marc-bonnisseau
- ORCID : 0000-0002-8156-2229
- IdRef : 033522448
Achis Chery
- Fonction : Auteur
- PersonId : 959153
Résumé
We consider a stochastic financial exchange economy with a finite date-event tree representing time and uncertainty and a financial structure with possibly long-term assets. We address the question of the continuity of the set of marketable payoffs with respect to the asset prices. In a previous paper, we have exhibited a sufficient condition,which is based only on the returns of the assets.However, it is never satisfied in the structures with re-trading [See Bonnisseau and Chéry (Ann Finance 10:523–552, 2014)], which is a very common feature in many papers following the model of Magill and Quinzii (Theory of Incomplete Markets, MIT Press, Cambridge, 1996). The main purpose of this paper is to address this issue. We exhibit a new sufficient condition for general financial structures, which enjoys the property to be inherited by the re-trading extension of a financial structure. So, we pave the way for equilibrium existence results under assumptions only on the fundamentals of the economy.
Format du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
Continuity ofmarketable payoffs with re-trading
|
Résumé |
en
We consider a stochastic financial exchange economy with a finite date-event tree representing time and uncertainty and a financial structure with possibly long-term assets. We address the question of the continuity of the set of marketable payoffs with respect to the asset prices. In a previous paper, we have exhibited a sufficient condition,which is based only on the returns of the assets.However, it is never satisfied in the structures with re-trading [See Bonnisseau and Chéry (Ann Finance 10:523–552, 2014)], which is a very common feature in many papers following the model of Magill and Quinzii (Theory of Incomplete Markets, MIT Press, Cambridge, 1996). The main purpose of this paper is to address this issue. We exhibit a new sufficient condition for general financial structures, which enjoys the property to be inherited by the re-trading extension of a financial structure. So, we pave the way for equilibrium existence results under assumptions only on the fundamentals of the economy.
|
Auteur(s) |
Jean-Marc Bonnisseau
1, 2
, Achis Chery
3, 4
1
CES -
Centre d'économie de la Sorbonne
( 15080 )
- Maison des Sciences Économiques - 106-112 Boulevard de l'Hôpital - 75647 Paris Cedex 13
- France
2
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
3
CREGED -
Centre de Recherche en Gestion et Economie du Développement
( 264623 )
- Université Quisqueya, 218 Haut Turgeau, 6113 Port-au-prince, Haiti
- Haïti
4
LS2E -
Laboratoire des Sciences pour l’Environnement et l’Energie
( 1143054 )
- Laboratoire des Sciences pour l’Environnement et l’Energie (LS2E),
Université d’Etat d’Haïti,
206, Rue Monseigneur Guilloux,
6112, Port-au-Prince, West Department,
Haiti
- Haïti
|
Date de publication électronique |
2022-01-30
|
Langue du document |
Anglais
|
Date de production/écriture |
2019-08-08
|
Nom de la revue |
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Date de publication |
2022
|
Domaine(s) |
|
Mots-clés (JEL) |
|
Projet(s) ANR |
|
Mots-clés |
en
Incomplete markets · Financial equilibrium · Multi-period model · Long-term assets · Re-traded assets · Financial structures with re-trading
|
DOI | 10.1007/s00199-021-01404-2 |
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