Infinite horizon incomplete markets with a continuum of states

dc.contributorEscolas::EPGE
dc.contributorFGV
dc.creatorAraújo, Aloísio Pessoa de
dc.creatorMonteiro, P. K.
dc.creatorPascoa, Mario Rui
dc.date.accessioned2018-10-25T18:23:38Z
dc.date.available2018-10-25T18:23:38Z
dc.date.created2018-10-25T18:23:38Z
dc.date.issued1996
dc.identifier0960-1627
dc.identifierhttp://hdl.handle.net/10438/25292
dc.identifier10.1111/j.1467-9965.1996.tb00074.x
dc.identifier2-s2.0-0030306936
dc.description.abstractIn this paper we address existence of equilibria in an incomplete markets economy with countably many periods and a continuum of states at each node of the infinite tree. We consider two models: one where agents have to honor their commitments and another where default is allowed. In both models, marginal utility of income, at each node, is shown to be bounded, and we prove existence by taking finite-dimensional approximations and applying Fatou's lemma sequentially.
dc.languageeng
dc.publisherBlackwell Publishing Inc.
dc.relationMathematical Finance
dc.rightsrestrictedAccess
dc.sourceScopus
dc.subjectGeneral equilibrium
dc.subjectIncomplete markets
dc.subjectInfinite horizon
dc.titleInfinite horizon incomplete markets with a continuum of states
dc.typeArticle (Journal/Review)


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