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Journal ArticleDOI

Stochastic equilibria with incomplete financial markets

Darrell Duffie
- 01 Apr 1987 - 
- Vol. 41, Iss: 2, pp 405-416
TLDR
In this article, the existence of equilibria with incomplete financial markets for stochastic economies whose information structure is given by an event tree is shown, restricting attention to purely financial securities, those paying in units of account (e.g., dollars).
About: 
This article is published in Journal of Economic Theory.The article was published on 1987-04-01. It has received 101 citations till now. The article focuses on the topics: Incomplete markets & Financial market.

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Citations
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Journal ArticleDOI

Rationality of Self and Others in an Economic System

Kenneth J. Arrow
- 01 Jan 1986 - 
TL;DR: In this paper, the authors disentangle some of the senses in which the rationality hypothesis of rationality is used in economic theory and stress that rationality is not a property of the individual alone, although it is usually presented that way.
Journal ArticleDOI

Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case☆

Hua He, +1 more
- 01 Aug 1991 - 
TL;DR: In this paper, the authors employ a martingale approach to study a dynamic consumption-portfolio problem in continuous time with incomplete markets and short-sale constraints, and transform the dynamic problem into a static problem of maximizing expected utility over the consumption bundles.
Journal ArticleDOI

A General Equilibrium Analysis of Option and Stock Market Interactions

Jerome Detemple, +1 more
- 01 May 1991 - 
TL;DR: In this paper, the authors analyzed an equilibrium in which a call option (derivative asset) is traded and the equilibrium stock price (primary asset) increases when the options market is opened.
Journal ArticleDOI

An introduction to general equilibrium with incomplete asset markets

John Geanakoplos
- 01 Jan 1990 - 
TL;DR: In this article, the major results in the theory of general equilibrium with incomplete asset markets are surveyed, and a few suggestions for further work are made for further research. And the papers in this volume are introduced and discussed.
Journal ArticleDOI

Real indeterminacy with financial assets

John Geanakoplos, +1 more
- 01 Feb 1989 - 
TL;DR: In this article, it was shown that the generic dimension of the set of equilibrium allocations in the incomplete market situation is S − 1, where S is the number of assets, and that the degree or real indeterminacy is independent of the total number of agents.
References
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Book

Theory of Value

E. Baudier, +1 more
Book ChapterDOI

The Role of Securities in the Optimal Allocation of Risk-bearing

Kenneth J. Arrow
- 01 Apr 1964 - 
TL;DR: In this article, an extension of the theory of the optimal allocation of resources under conditions of certainty is presented, and an extension to conditions of subjective uncertainty is considered, where the authors consider an optimal allocation under subjective uncertainty.
Journal ArticleDOI

Existence of equilibrium of plans, prices and price expectations in a sequence of markets

Roy Radner
- 01 Mar 1972 - 
Journal ArticleDOI

On the optimality of equilibrium when the market structure is incomplete

Oliver Hart, +1 more
- 01 Dec 1975 - 
TL;DR: In this paper, it is shown that a temporary equilibrium will not generally enjoy any optimality properties since the actions of economic agents are incomplete and sequential in real world trading, and the subject of the optimality of equilibrium has received considerably less attention.
Book

Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities

Darrell Duffie, +1 more
TL;DR: In this article, the Arrow-Debreu economy is placed in a Radner (dynamic) setting; agents may trade claims at any time during [0, T] with a general model of uncertainty.