On bankruptcy in general equilibrium with uncertainty

• 成果类型: Article
• 署名作者: Ritzberger, Klaus; Tsomocos, Dimitrios P.
• 署名单位: University of London; Royal Holloway University London; University of Oxford; University of Oxford
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2024.105838
• 发表日期: 2024
• 关键词: bankruptcy; EXISTENCE; general equilibrium

摘要

In a general equilibrium model with time and uncertainty the possibility of bankruptcy cannot be excluded in general, when short sale constraints are too loose. Tight short trading constraints, on the other hand, are inefficient. Bankruptcies turn security payoffs endogenous and destroy convexity of the induced preferences over portfolios. The latter raises existence issues for competitive equilibrium, as illustrated in this paper by an example.