A note on two notions of arbitrage
Economics Bulletin, 2003, vol. 4, issue 1, 1-7
In the framework of economics models with unbounded short sales a number of different conditions limiting arbitrage opportunities have been introduced. Dana, Le Van and Magnien [JET.87(1999)169] appeal to the condition of compactness of the individually rational utility set and show that all prior conditions in the literature limiting arbitrage opportunities imply this compactness. More recently,Page, Wooders and Monteiro [JME.34(2000)439] introduced the condition of inconsequential arbitrage. In this note, we add to the conclusion of Dana, Le Van and Magnien [JET.87(1999)169] that inconsequential arbitrage implies the compactness of the individually rational utility set and also demonstrate that the converse does not hold.
Keywords: Arbitrage (search for similar items in EconPapers)
JEL-codes: D5 G0 (search for similar items in EconPapers)
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