학술저널
Incomplete Markets with Endogenous Portfolio Constraints and Redundant Assets
- 서울대학교 경제연구소
- Seoul Journal of Economics
- Seoul Journal of Economics Volume 27 No.4
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2014.12469 - 488 (19 pages)
- 0
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.
Abstract
Ⅰ. Introduction
Ⅱ. The Model
Ⅲ. Constrained Arbitrage and Additional Assumptions
Ⅳ. Examples of Endogenous Portfolio Constraints
Ⅴ. Existence of a Competitive Equilibrium
Ⅵ. Concluding Remarks
Reference
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