Generic regularity of competitive equilibria with restricted participation

Generic regularity of competitive equilibria with restricted participation

In this paper, we present a general version of the model of competitive equilibrium with restricted participation on financial markets. Our goal is to accommodate a wide range of portfolio constraints while at the same time still permitting (generically) differential analysis of the dependence of fi...

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Veröffentlicht in:Journal of mathematical economics 2001-09, Vol.36 (1), p.61-76
Hauptverfasser: Cass, David, Siconolfi, Paolo, Villanacci, Antonio
Format: Artikel
Sprache:eng
Schlagworte:
Capital market
Competitive equilibrium
Economic theory
Equilibrium
Financial markets
General economic equilibrium
General equilibrium
Mathematical economics
Mathematical models
Regularity of equilibria
Restricted participation
Securities markets
Studies
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Beschreibung
Zusammenfassung:In this paper, we present a general version of the model of competitive equilibrium with restricted participation on financial markets. Our goal is to accommodate a wide range of portfolio constraints while at the same time still permitting (generically) differential analysis of the dependence of financial equilibria on “fundamental” parameters.
ISSN:0304-4068
1873-1538
DOI:10.1016/S0304-4068(01)00067-2