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Identification of individual demands from market data under uncertainty

By Andrés M. Carvajal and Alvaro Riascos

Abstract

We show that, even under incomplete markets, the equilibrium manifold identifies individual demands everywhere in their domains. Under partial observation of the manifold, we determine maximal subsets of the domains on which identification holds. For this, we assume conditions of smoothness, interiority and regularity. It is crucial that there be date-zero consumption. As a by-product, we develop some duality theory under incomplete markets

Topics: HB
Publisher: Berkeley Electronic Press
Year: 2008
OAI identifier: oai:wrap.warwick.ac.uk:31

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