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Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

Incomplete Markets with Cone Constraints

Vol.19, No.2, June , 1–20



  •   (Division of Humanities and Social Sciences, POSTECH)

  •   (College of Business Administration, Ajou University)

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Abstract  

We show the existence of equilibrium in a two-period incomplete financial market with non-ordered preferences where agents are subject to cone portfolio constraints. The main theorem of the paper is built on the consequences of portfolio decomposition provided in Hahn and Won (2007).


Keywords
   Incomplete markets, cone portfolio constraints, portfolio decomposition, constrained arbitrage, competitive equilibrium

JEL classification codes
   C62, D51
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