Simple market structures are incomplete
Milán, Pau. (Universitat Autònoma de Barcelona)
Gierlinger, Johannes (Universitat Autònoma de Barcelona)

Date:	2023
Description:	36 pàg.
Abstract:	We study how risk is shared using simple assets, each of which pays on a specific subset of payoff-relevant variables. We show that a market composed of simple assets is incomplete - no matter how many or which assets exist- because it can never address the joint realizations of some distinct risks. We also show that this inability to refine trades generates spill overs between agents with different types of financial constraints. Agents of type i are exposed to uninsurable income risk unless there exists another type j who can condition on all variables affecting i's income.
Grants:	Agencia Estatal de Investigación ECO2017-83534-P Agencia Estatal de Investigación PID2020-116771GB-I00 Agencia Estatal de Investigación CEX2019-000915-S
Note:	Altres ajuts: Grant EPUC3M11 (V PRICIT), and grant H2019/HUM-5891.
Rights:	Aquest material està protegit per drets d'autor i/o drets afins. Podeu utilitzar aquest material en funció del que permet la legislació de drets d'autor i drets afins d'aplicació al vostre cas. Per a d'altres usos heu d'obtenir permís del(s) titular(s) de drets.
Language:	Anglès
Document:	Working paper ; recerca ; Versió de l'autor
Subject:	Risk sharing ; Market structure ; Incomplete markets

Adreça alternativa: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4567779
DOI: 10.2139/ssrn.4567779

Preprint 36 p, 719.5 KB

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Research literature > Working papers