Gottardi, Piero and Rahi, Rohit (2013) Risk sharing and retrading in incomplete markets. Economic Theory, 54 (2). pp. 287-304. ISSN 0938-2259
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 induce agents to retrade, if such information was to become publicly available after the initial round of trade.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.springer.com/economics/economic+theory/... |
| Additional Information: | © 2012 Springer Verlag |
| 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 |
| Date Deposited: | 25 Apr 2013 14:41 |
| URL: | http://eprints.lse.ac.uk/46333/ |
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