Super‐Replication in Economies with Imperfect Financial Markets

09/05/2018
Visto: 17 veces

This article proves equilibrium existence in an infinite horizon economy with incomplete markets.
Agents may trade finite or infinitely lived real assets in both zero and positive net supply, and are subject to
borrowing constraints preventing them from engaging into Ponzi schemes. Upper bounds for prices of assets
in zero net supply are obtained by means of recent techniques developed in the literature of finite horizon
economies with financial segmentation. Trading constraints are also introduced as to make the model
compatible with financial segmentation. Uniform impatience is not a necessary assumption for the results.

Daniel Jaar Universidad de Chile