Risk-sharing and retrading in incomplete markets

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Gottardi, Piero (2012) Risk-sharing and retrading in incomplete markets. .

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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
Divisions:	Economics Finance Financial Markets Group
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HG Finance
JEL classification:	D - Microeconomics > D5 - General Equilibrium and Disequilibrium > D52 - Incomplete Markets D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D80 - General
Date Deposited:	16 Apr 2012 10:48
Last Modified:	13 Sep 2024 20:20
URI:	http://eprints.lse.ac.uk/id/eprint/43094

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