Simple Market Structures are Incomplete

• 成果类型: Article
• 署名作者: Gierlinger, Johannes; Milan, Pau
• 署名单位: Autonomous University of Barcelona; Barcelona School of Economics
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.70038
• 发表日期: 2026
• 关键词: INVESTOR PREFERENCES; equilibrium; MODEL; RISK

摘要

We propose a model of categorization in financial markets where states are defined by payoff-relevant variables, but all securities are measurable with respect to strict subsets of these variables. This limits insurance against variable interactions: no combination of securities can compensate the absence of an instrument targeting a given set of variables. We provide a decomposition result that identifies the uninsurable component of income risk for any market. We derive a lower bound on the number of securities required for efficiency. Using the same techniques, we characterize the payoff space when individuals condition only on a personal set of variables.