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Risk-sharing and retrading in incomplete markets

Rahi, Rohit and Gottardi, Piero (2012) Risk-sharing and retrading in incomplete markets. . (Unpublished)

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Abstract

At a competitive equilibrium of an incomplete-markets economy agents’ marginal valuations for the tradable assets are equalized ex-ante. We characterize the finest partition of the state space conditional on which this equality holds for any economy. This leads naturally to a necessary and sufficient condition on information that would lead to retrade, if such information were to become publicly available after the initial round of trade.

Item Type: Monograph (Working Paper)
Additional Information: © 2012 The authors
Library of Congress subject classification: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Journal of Economic Literature Classification System: D - Microeconomics > D5 - General Equilibrium and Disequilibrium > D52 - Incomplete Markets
D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D80 - General
Sets: Departments > Economics
Departments > Finance
Collections > Economists Online
Research centres and groups > Financial Markets Group (FMG)
Collections > LSE Financial Markets Group (FMG) Working Papers
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 16 Apr 2012 10:48
URL: http://eprints.lse.ac.uk/43094/

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