  We consider a financial market in which traders potentially face restrictions
in trading some of the available securities. Traders are heterogeneous with
respect to their beliefs and risk profiles, and the market is assumed thin:
traders strategically trade against their price impacts. We prove existence and
uniqueness of a corresponding equilibrium, and provide an efficient algorithm
to numerically obtain the equilibrium prices and allocations given market's
inputs. We find that restrictions may increase the market's welfare if traders
have different views regarding the covariance matrix of securities returns. The
latter heterogeneity regarding covariance matrix disagreement is essential in
modelling; for instance, when traders agree on the covariance matrix,
restricting participation in some securities for some traders leaves
equilibrium prices unaltered in the unrestricted securities, a certainly
undesirable model effect.
