Convex analysis and financial equilibrium

• 成果类型: Article
• 署名作者: Jofre, A.; Rockafellar, R. T.; Wets, R. J. -B.
• 署名单位: Universidad de Chile; Universidad de Chile; University of Washington; University of Washington Seattle; University of California System; University of California Davis
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-014-0747-3
• 发表日期: 2014
• 页码: 223-239
• 关键词: economic equilibrium; EXISTENCE; MARKETS

摘要

Convexity has long had an important role in economic theory, but some recent developments have featured it all the more in problems of equilibrium. Here the tools of convex analysis are applied to a basic model of incomplete financial markets in which assets are traded and money can be lent or borrowed between the present and future. The existence of an equilibrium is established with techniques that include bounds derived from the duals to problems of utility maximization. Composite variational inequalities furnish the modeling platform. Models with and without short-selling are handled, moreover in the absence of any requirement that agents must initially have a positive amount of every asset, as is typical in equilibrium work in economics.