Existence of equilibrium on asset markets with a countably infinite number of states

Thai Ha-Huy and Cuong Le Van

Journal of Mathematical Economics, 2017, vol. 73, issue C, 44-53

Abstract: We consider a model with a countably infinite number of states of nature. The agents have equivalent probability beliefs and von Neumann–Morgenstern utilities. The No-Arbitrage Prices in this paper are, up to a scalar, the marginal utilities. We introduce the Beliefs Strong Equivalence and the No Half Line Condition of the same type conditions. Under these conditions, the No Arbitrage price condition is sufficient for the existence of an equilibrium when the commodity space is lp,1≤p<+∞. This No Arbitrage condition is necessary and sufficient for the existence of equilibrium when the total endowment is in l∞. Moreover, it is equivalent to the compactness of the individually rational utility set.

Keywords: Beliefs strong equivalence; Asset market equilibrium; Individually rational attainable allocations; Individually rational utility set; No-arbitrage prices; No-arbitrage condition (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (7)

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Related works:
Working Paper: Existence of equilibrium on asset markets with a countably infinite number of states (2023)
Working Paper: Existence of equilibrium on asset markets with a countably infinite number of states (2017)
Working Paper: Existence of equilibrium on asset markets with a countably infinite number of states (2017)
Working Paper: Existence of equilibrium on asset markets with a countably infinite number of states (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:73:y:2017:i:c:p:44-53

DOI: 10.1016/j.jmateco.2017.07.001

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