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Equilibrium in financial markets with endogenous portfolio constraints and non-ordered preferences
(Universidad de Chile, 2017-11-14)
In this paper we include the possibility of individuals preferences to be non-
ordered (i.e. the axioms of completeness and transitivity are not necessarily satis-
ed) on nancial models with endogenous constraints on ...
Nonlinear-programming reformulation of the order-value optimization problem
(Physica-verlag Gmbh & CoHeidelbergAlemanha, 2005)
Radiative constraints on the hydrological cycle in an idealized radiative-convective equilibrium model
(American Meteorological Society, 2009-01)
The radiative constraints on the partitioning of the surface energy budget and, hence, on the strength of the hydrological cycle are analyzed in an idealized one-dimensional radiative–convective equilibrium model formulated ...
Fiat money and the value of binding portfolio constraints
(Springer, 2011-02)
We establish necessary and sufficient conditions for the individual optimality of a consumption-portfolio plan in an infinite horizon economy where agents are uniformly impatient and fiat money is the only asset available ...
Feasibility Problems With Complementarity Constraints
(ELSEVIER SCIENCE BVAMSTERDAM, 2016)
Credit segmentation in general equilibrium
(2016)
We build a general equilibrium model with endogenous borrowing constraints compatible with credit segmentation. There are personalized trading restrictions connecting prices with both portfolio constraints and consumption ...
Equilibria in exchange economies with financial constraints: beyond the Cass trick
(Escola de Pós-Graduação em Economia da FGV, 2005-08-05)
We consider an exchange economy under incomplete financiaI markets with purely financiaI securities and finitely many agents. When portfolios are not constrained, Cass [4], Duffie [7] and Florenzano-Gourdel [12] proved ...
An inexact-restoration method for nonlinear bilevel programming problems
(SpringerNew YorkEUA, 2009)
Endogenous debt constraints in collateralized economies with default penalties
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2011-06-30)
In infinite horizon financial markets economies, competitive equilibria fail to exist if one does not impose restrictions on agents' trades that rule out Ponzi schemes. When there is limited commitment and collateral ...