No arbitrage condition and existence of equilibrium in infinite or finite dimension with expected risk averse utilities
Thai Ha Huy (),
Cuong Le van and
Manh Hung Nguyen
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Thai Ha Huy: University Paris 1, CNRS CES, Paris, France
Authors registered in the RePEc Author Service: Thai Ha-Huy
No 20, Working Papers from Development and Policies Research Center (DEPOCEN), Vietnam
Abstract:
We consider a general equilibrium model in asset markets with a countable set of states and expected risk averse utilities. The agents do not have the same beliefs. We use the methods in Le Van - Truong Xuan (JME, 2001) but one of their assumption which is crucial for obtaining their result cannot be accepted in our model when the number of states is countable. We give a proof of existence of equilibrium when the number of states is inï¬ nite or ï¬ nite.
Keywords: No-arbitrage Conditions; the two-period wealth model; No Unbouded Arbitrage; Weak No Market Arbitrage (search for similar items in EconPapers)
JEL-codes: C62 D50 D81 D84 G1 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2008-07
New Economics Papers: this item is included in nep-upt
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Working Paper: No arbitrage condition and existence of equilibrium in infinite or finite dimension with expected risk averse utilities (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:dpc:wpaper:2008
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