Arbitrage and equilibrium in economies with short-selling and ambiguity

Thai Ha-Huy, Cuong Le Van and Cuong Tran-Viet
Authors registered in the RePEc Author Service: Cuong Tran Viet

Journal of Mathematical Economics, 2018, vol. 76, issue C, 95-100

Abstract: We consider a model with a finite number of states of nature where short sells are allowed. We present a notion of no-arbitrage price weaker than the one of Werner (1987) that we call weak no-arbitrage price. We prove that in the case of maximin expected utility functions, the existence of one common weak no-arbitrage price is equivalent to the existence of an equilibrium.

Keywords: Asset market equilibrium; Individually rational attainable allocations; Individually rational utility set; No-arbitrage prices; No-arbitrage condition; Maximin expected utility (search for similar items in EconPapers)
Date: 2018
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Related works:
Working Paper: Arbitrage and equilibrium in economies with short-selling and ambiguity (2018)
Working Paper: Arbitrage and equilibrium in economies with short-selling and ambiguity (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:76:y:2018:i:c:p:95-100

DOI: 10.1016/j.jmateco.2018.01.004

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