SFB 303 Discussion Paper No. A - 220
Author: Zame, William R.
Title: Asymptotic Behavior of Asset Markets, I: Asymptotic Inefficiency
Abstract: This paper presents a model of an asset market with an infinite number
of states of the world. Equilibria exist (under standard assumptions)
provided that assets are denominated in a single numeraire commodity (or in
units of account). For a given sequence of assets, necessary and sufficient
conditions are established that the equilibria of the finite asset markets
necessarily converge to an efficient allocation or to an equilibrium
allocation of the underlying complete contingent claims market. The set of
assets failing this condition is generic: it contains a countable
intersection of dense, open sets.
Creation-Date: December 1988
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