How to Discard Rational Expectations?Part I : Extending Cass' Theorem to Asymmetricinformation and Restricted Participation

Cass (1984) provided an existence theorem for financial equilibria in incomplete markets with exogenous yields. His theorem showed that, when agents had symmetric information and ordered preferences, equilibria existed on purely nancial markets, consistently with any collection of state prices. This result built on a so-called 'trick', along which one agent had an Arrow-Debreu budget set, with one single constraint, while the other agents were constrained a la Radner, in every state of nature. Dropping the Cass trick, the current paper extends Cass theorem to agents possibly facing asymmetric information, non-ordered preferences and a restricted access to financial markets. It shows that any collection of state prices, in agents commonly expected states, supports equilibria. This result refines De Boisdeffre (2007) and complements those of the literature with symmetric information