Equilibrium and arbitrage in incomplete asset markets with fixed prices

P. Jean-Jacques Herings and Heracles Polemarchakis

No 2000026, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

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 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: incomplete asset market; fix-price equilibrium; arbitrage. (search for similar items in EconPapers)
JEL-codes: D45 D52 D60 (search for similar items in EconPapers)
Date: 2000-03
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Citations: View citations in EconPapers (2)

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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 (2000)
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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