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Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities

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  • Duffie, J Darrell
  • Huang, Chi-fu

Abstract

A two-period (0 and T) Arrow-Debreu economy is set up with a general model of uncertainty. We suppose that an equilibrium exists for this economy. The Arrow-Debreu economy is placed in a Radner (dynamic) setting; agents may trade claims at any time during [0, T]. Under appropriate conditions it is possible to implement the original Arrow-Debreu equilibrium, which may have an infinite-dimensional commodity space, in a Radner equilibrium with only a finite number of securities. This is done by opening the “right” set of security markets, a set which effectively completes markets for the Radner economy.
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  • Duffie, J Darrell & Huang, Chi-fu, 1985. "Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities," Econometrica, Econometric Society, vol. 53(6), pages 1337-1356, November.
    • Handle: RePEc:ecm:emetrp:v:53:y:1985:i:6:p:1337-56
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    JEL classification:

    • G00 - Financial Economics - - General - - - General

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