Risk sharing and retrading in incomplete markets
Economic Theory, 2013, Vol. 54, No. 2, pp. 287-304
GOTTARDI, Piero, RAHI, Rohit, Risk sharing and retrading in incomplete markets, Economic Theory, 2013, Vol. 54, No. 2, pp. 287-304 - https://hdl.handle.net/1814/28618
Retrieved from Cadmus, EUI Research Repository
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.
First published on : October 2013
Cadmus permanent link: https://hdl.handle.net/1814/28618
Full-text via DOI: 10.1007/s00199-012-0717-z
ISSN: 1432-0479; 0938-2259
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