Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities

Thai Ha-Huy, Cuong Le Van () and Manh Hung Nguyen
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Cuong Le Van: IPAG Business School, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: We consider a model with an infinite number of states of nature, von Neumann–Morgenstern utilities, where agents have different probability beliefs and where short sells are allowed. We show that no-arbitrage conditions, defined for finite dimensional asset markets models, are not sufficient to ensure existence of equilibrium in presence of an infinite number of states of nature. However, if the individually rational utility set U is compact, we obtain an equilibrium. We give conditions which imply the compactness of U. We give examples of non-existence of equilibrium when these conditions do not hold.

Keywords: beliefs; asset market equilibrium; individually rational attainable al- locations; Individually rational utility set; no-arbitrage prices; no-arbitrage condition (search for similar items in EconPapers)
Date: 2016-01
Note: View the original document on HAL open archive server: https://hal.science/hal-01302519v1
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Citations: View citations in EconPapers (4)

Published in Mathematical Social Sciences, 2016, 79, pp.30-39. ⟨10.1016/j.mathsocsci.2015.10.007⟩

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Related works:
Journal Article: Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities (2016)
Working Paper: Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities (2016)
Working Paper: Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities (2016)
Working Paper: Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities (2016)
Working Paper: Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities (2016)
Working Paper: Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-01302519

DOI: 10.1016/j.mathsocsci.2015.10.007

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