Arbitrage and equilibrium in economies with short-selling and ambiguity

Thai Ha-Huy, Cuong Le Van and Cuong Tran-Viet
Authors registered in the RePEc Author Service: Cuong TRAN VIET ()

Journal of Mathematical Economics, 2018, vol. 76, issue C, 95-100

Abstract: We consider a model with a finite number of states of nature where short sells are allowed. We present a notion of no-arbitrage price weaker than the one of Werner (1987) that we call weak no-arbitrage price. We prove that in the case of maximin expected utility functions, the existence of one common weak no-arbitrage price is equivalent to the existence of an equilibrium.

Keywords: Asset market equilibrium; Individually rational attainable allocations; Individually rational utility set; No-arbitrage prices; No-arbitrage condition; Maximin expected utility (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304406818300132
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Arbitrage and equilibrium in economies with short-selling and ambiguity (2018)
Working Paper: Arbitrage and equilibrium in economies with short-selling and ambiguity (2018)
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:mateco:v:76:y:2018:i:c:p:95-100

DOI: 10.1016/j.jmateco.2018.01.004

Access Statistics for this article

Journal of Mathematical Economics is currently edited by Atsushi (A.) Kajii

More articles in Journal of Mathematical Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().