Financial and Actuarial Mathematics: Time Table
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PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm B, 2.Stock, HS 8)
19.12.2000 - Jan Werner: Implementing Arrow-Debreu Equilibria
by Trading Infinitely-Lived Securities
> Abstract:
> We show that Arrow-Debreu equilibria with countably additive prices in
> infinite-time economy under uncertainty can be implemented by trading
> infinitely-lived securities in complete sequential markets under two
> different portfolio feasibility constraints: wealth constraint, and
> bounded borrowing constraint. Sequential equilibria with no price
> bubbles implement Arrow-Debreu equilibria, while those with price
> bubbles implement Arrow-Debreu equilibria with transfers. The transfers
> are given by the value of price bubbles on initial portfolio holdings.
> Price bubbles may arise in sequential equilibrium under the wealth
> constraint, but not under the bounded borrowing constraint.