Existence of Equilibrium in Finite Dimensional Asset Markets

Thai Ha-Huy, Cuong Le Van () and Myrna Wooders
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Cuong Le Van: IPAG Business School, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement

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Abstract: We consider a pure exchange asset model with a finite number of agents and a finite number of states of nature where short sells are allowed. We present the definition of weak no-arbitrage price, a weaker notion of noarbitrage price than the one of Werner, and prove that if the utility functions satisfy the maximal and closed gradients conditions we propose in this paper, then there exists an equivalence between existence of a general equilibrium and existence of a price which is weak no-arbitrage price for all the agents.

Keywords: asset market equilibrium; individually rational attainable allocations; individually rational utility set; no-arbitrage prices; no-arbitrage condition (search for similar items in EconPapers)
Date: 2024-06-05
New Economics Papers: this item is included in nep-upt
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