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IMPLEMENTING ARROW–DEBREU EQUILIBRIA IN APPROXIMATELY COMPLETE SECURITY MARKETS

Koji Kusuda

Journal of the Operations Research Society of Japan2024https://doi.org/10.15807/jorsj.67.18article
ABDC B
Weight
0.30

What the paper says

This study shows that Arrow–Debreu equilibria in a continuous-time market economy with an infinite-dimensional martingale generator can be implemented in “approximately complete security markets,” in which every bond of any maturity is traded and any contingent claim is approximately replicated with any given precision. I introduce “approximate security market equilibrium” as a generalized concept of security market equilibrium. I demonstrate that an Arrow–Debreu equilibrium in the economy can be identified with an approximate security market equilibrium in the approximately complete markets.

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https://doi.org/https://doi.org/10.15807/jorsj.67.18

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@article{koji2024,
  title        = {{IMPLEMENTING ARROW–DEBREU EQUILIBRIA IN APPROXIMATELY COMPLETE SECURITY MARKETS}},
  author       = {Koji Kusuda},
  journal      = {Journal of the Operations Research Society of Japan},
  year         = {2024},
  doi          = {https://doi.org/https://doi.org/10.15807/jorsj.67.18},
}

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IMPLEMENTING ARROW–DEBREU EQUILIBRIA IN APPROXIMATELY COMPLETE SECURITY MARKETS

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Evidence weight

0.30

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.