Risky Arbitrage, Asset Prices, and Externalities

Cuong Le van, Frank Page and Myrna Wooders

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

Abstract: We introduce a no-risky-arbitrage price condition (NRAP) for asset market models allowing both unbounded short sales and externalities such as trading volume. We then demonstrate that NRAP is sufficient for the existence of competitive equilibrium in the presence ofexternalities. Moreover, we show that if all risky arbitrages are utility increasing, then NRAP characterizes competitive equilibrium in thepresence of externalities.

Keywords: Risky Arbitrage; Competitive Equilibrium; Viable Asset Prices (search for similar items in EconPapers)
Date: 2007-12
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00102698
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Published in Economic Theory, 2007, 33 (3), pp.475-491. ⟨10.1007/s00199-006-0151-1⟩

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Related works:
Journal Article: Risky arbitrage, asset prices, and externalities (2007)
Working Paper: Risky Arbitrage, Asset Prices, and Externalities (2007)
Working Paper: Risky Arbitage, Asset Prices, and Externalities (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00102698

DOI: 10.1007/s00199-006-0151-1

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