Equilibrium and arbitrage in incomplete asset markets with fixed prices

P. Jean-Jacques Herings () and Herakles Polemarchakis ()

No 7, Research Memoranda from Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization

Abstract: At arbitrary prices of commodities and assets, fix-price equilibria exist under weak assumptions: endowments need not satisfy an interiority condition, utility functions need only satisfy are very weak monotonicity requirement, and the asset return matrix allows for redundant assets. Prices of assets may permit arbitrage. At equilibrium, though restricted through endogenously determined trading constraints, arbitrage possibilities may persist; in an example, an individual holds an arbitrage portfolio.

Keywords: Economics (search for similar items in EconPapers)
Date: 2002
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Related works:
Journal Article: Equilibrium and arbitrage in incomplete asset markets with fixed prices (2002)
Working Paper: Equilibrium and arbitrage in incomplete asset markets with fixed prices (2002)
Working Paper: Equilibrium and arbitrage in incomplete asset markets with fixed prices (2001)
Working Paper: Equilibrium and arbitrage in incomplete asset markets with fixed prices (2000)
Working Paper: Equilibrium and arbitrage in incomplete asset markets with fixed prices (2000)
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