This paper presents the analysis of the existence of equilibria in a two-period general equilibrium model with incomplete financial markets and real assets by means of a variational inequality approach. A definition of fictitious equilibrium is presented and it is shown to be equivalent to the definition of equilibrium under a suitable rank condition of the return matrix. Then the fictitious equilibrium is characterized in terms of a generalized quasi-variational inequality involving Grassmannian manifolds. The chosen variational inequality is constituted by two parts: the former one relates to the individuals’ maximization problems and the latter one exploits the market clearing conditions.

Existence of financial equilibria with real assets: a variational inequality approach / antonio villanacci; Maria Bernadette Donato. - In: OPTIMIZATION. - ISSN 0233-1934. - STAMPA. - (2023), pp. 1-18.

Existence of financial equilibria with real assets: a variational inequality approach

antonio villanacci;
2023

Abstract

This paper presents the analysis of the existence of equilibria in a two-period general equilibrium model with incomplete financial markets and real assets by means of a variational inequality approach. A definition of fictitious equilibrium is presented and it is shown to be equivalent to the definition of equilibrium under a suitable rank condition of the return matrix. Then the fictitious equilibrium is characterized in terms of a generalized quasi-variational inequality involving Grassmannian manifolds. The chosen variational inequality is constituted by two parts: the former one relates to the individuals’ maximization problems and the latter one exploits the market clearing conditions.
2023
1
18
antonio villanacci; Maria Bernadette Donato
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Utilizza questo identificatore per citare o creare un link a questa risorsa: https://hdl.handle.net/2158/1333219
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