On bankruptcy in general equilibrium with uncertainty

被引：0
|
作者：
Ritzberger, Klaus [1 ]
Tsomocos, Dimitrios P. [2 ,3 ]
机构：
[1] Royal Holloway Univ London, Dept Econ, Egham TW20 0EX, Surrey, England
[2] Univ Oxford, Said Business Sch, Park End St, Oxford OX1 1HP, England
[3] Univ Oxford, St Edmund Hall, Park End St, Oxford OX1 1HP, England
来源：
JOURNAL OF ECONOMIC THEORY | 2024年 / 218卷
关键词：
Bankruptcy; Existence; General equilibrium; CREDIT; RISK; EFFICIENCY; EXISTENCE; DEFAULT;
D O I：
10.1016/j.jet.2024.105838
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In a general equilibrium model with time and uncertainty the possibility of bankruptcy cannot be excluded in general, when short sale constraints are too loose. Tight short trading constraints, on the other hand, are inefficient. Bankruptcies turn security payoffs endogenous and destroy convexity of the induced preferences over portfolios. The latter raises existence issues for competitive equilibrium, as illustrated in this paper by an example.
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页数：13
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