Generic regularity of competitive equilibria with restricted participation

Cass, David; Siconolfi, Paolo; Villanacci, Antonio

doi:10.1016/s0304-4068(01)00067-2

Cited by 38 publications

(35 citation statements)

References 9 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The second strand is the financial equilibrium literature in Economics, and in particular the developments related to real assets models with restricted transactions. Cass, Siconolfi, and Villanacci (2001) demonstrate finite local uniqueness of equilibrium in a real assets model (specifically, a numeraire assets model) with exogenous portfolio constraints while Carosi and Villanacci (2006) extend this result to encompass endogenous constraints (the distinction depends on whether or not the possible constraints depend on just portfolio strategies or other endogenous variables as well-as in the model we analyze here). However, nothing in their analysis suggests that this result may, in some circumstances, fail when markets are incomplete and, furthermore, that portfolio constraints may expand the number of equilibria.…”

Section: Introductionmentioning

confidence: 65%

“…This result seems to contradict Cass, Siconolfi, and Villanacci (2001), whose analysis shows that generic finite local uniqueness of equilibrium with portfolio constraints obtains independently of the degree of market incompleteness. The difference here is simply that trees give rise to household endowments which are nongeneric.…”

Section: Results 4 For γ ∈ (γ γ) There Is a Continuum (Ie A Smootmentioning

confidence: 92%

See 1 more Smart Citation

Multiplicity in general financial equilibrium with portfolio constraints

Basak

Cass

Licari

et al. 2008

Journal of Economic Theory

Self Cite

View full text Add to dashboard Cite

This paper explores the role of portfolio constraints in generating multiplicity of equilibrium. We present a simple financial market economy with two goods and two households, households who face constraints on their ability to take unbounded positions in risky stocks. Absent such constraints, equilibrium allocation is unique and is Pareto efficient. With one portfolio constraint in place, the efficient equilibrium is still possible; however, additional inefficient equilibria in which the constraint is binding may emerge. We show further that with portfolio constraints cum incomplete markets, there may be a continuum of equilibria; adding incomplete markets may lead to real indeterminacy.JEL Classifications: G12, D52

show abstract

Section: Introductionmentioning

confidence: 65%

Section: Results 4 For γ ∈ (γ γ) There Is a Continuum (Ie A Smootmentioning

confidence: 92%

Multiplicity in general financial equilibrium with portfolio constraints

Basak

Cass

Licari

et al. 2008

Journal of Economic Theory

Self Cite

View full text Add to dashboard Cite

show abstract

“…In classical general equilibrium, segmentation is captured by restricted-participation constraints on agents (see Polemarchakis and Siconolfi (1997) and Cass et al (2001)). Strategic arbitrage in a general equilibrium setting is the subject of Zigrand (2004Zigrand ( , 2006.…”

Section: Competitivelymentioning

confidence: 99%

Walrasian foundations for equilibria in segmented markets

Rahi

Zigrand

2014

Math Finan Econ

View full text Add to dashboard Cite

We study a CAPM economy with segmented financial markets and competitive arbitrageurs who link these markets. We show that the equilibrium of the arbitraged economy is Walrasian in the sense that it coincides with the equilibrium of an appropriately defined competitive economy with no arbitrageurs. This characterization serves to clarify the role that arbitrageurs play in integrating markets.Journal of Economic Literature classification numbers: D52, G10.

show abstract

“…But, several extensions have been done to encompass various sorts of constraints, Smale (1974a, b), Mas-Colell (1985), Balasko et al (1990), Cass (1990, Villanacci (1993), Polemarchakis and Siconolfi (1997), Cass et al (2001), Villanacci and Zenginobuz (2005), Bonnisseau and Rivera Cayupi (2006), among others, which means that the demand functions exhibit non-differentiability since nothing prevents the equilibrium allocations to be on the boundary of the consumption sets. To prove generic differentiability and regularity results, we follow the strategy laid out in Cass et al (2001), in which a general method for encompassing individual portfolio constraints while still permitting differential techniques is given.…”

Section: Introductionmentioning

confidence: 99%