Existence of Arrow-Radner equilibrium with endogenously complete markets under incomplete information

• 成果类型: Article
• 署名作者: Riedel, F
• 署名单位: Humboldt University of Berlin
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1006/jeth.2000.2714
• 发表日期: 2001
• 页码: 109-122
• 关键词: Incomplete information; complete markets; financial markets equilibrium

摘要

A stochastic pure exchange economy with incomplete information is studied where one risky asset and a locally riskless bond are traded. The underlying risks are described by a k-dimensional Brownian motion with k greater than or equal to 2. The Brownian morion is nor directly observable. Agents observe only asset prices and dividends. Existence of an Arrow-Radner equilibrium is established. In such on equilibrium. asset prices result such that every informationally feasible consumption plan can be financed by trading in the risky asset and the bond. In this sense, the resulting asset market is complete. (C) 2001 Academic Press.