Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans

Philip Dybvig and Chi-fu Huang
Additional contact information
Chi-fu Huang: MIT

No 860, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: A restriction to nonnegative wealth is sufficient to preclude all arbitrage opportunities in financial models that have risk neutral probabilities that are valid for all simple strategies. Imposing nonnegative wealth does not constrain agents from making the choice they would make under the standard integrability condition. This conclusion does not depend on whether the markets are complete.

Keywords: Investments; free lunch; arbitrage; option pricing; continuous time (search for similar items in EconPapers)
Pages: 20 pages
Date: 1988-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (63)

Published in Review of Financial Studies (1988), 1: 377-401

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d08/d0860.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans (1988)
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:cwl:cwldpp:860

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().