Market arbitrage versus agent arbitrage

P. Modesti

Omega, 2004, vol. 32, issue 1, 25-29

Abstract: The present paper provides conditions for the consistency among different orderings which may be defined on sets of financial portfolios; in particular, a different reading key for some classical results is proposed. Besides arbitrage (whose impossibility is necessary and sufficient for consistency between the orderings based on prices and payoffs, respectively), a different notion, the agent arbitrage, is introduced. It turns out to be useful to enlighten links among orderings: in particular, no agent arbitrage embodies the equivalence between the preorder induced by prices and the one induced by agent's utility.

Keywords: Arbitrage; Decision; theory; Financial; markets; Preorders (search for similar items in EconPapers)
Date: 2004
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0305-0483(03)00105-1
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jomega:v:32:y:2004:i:1:p:25-29

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Omega is currently edited by B. Lev

More articles in Omega from Elsevier
Bibliographic data for series maintained by Catherine Liu ().