Arbitrage and equilibrium in economies with short-selling and ambiguity

Thai Ha-Huy, Cuong Le Van () and Cuong Tran-Viet ()
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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, TIMAS - Institute of Mathematics and Applied Science
Cuong Tran-Viet: UP1 - Université Paris 1 Panthéon-Sorbonne, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Authors registered in the RePEc Author Service: Cuong TRAN VIET ()

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Abstract: We consider a model with a finite number of states of nature where short sells are allowed. We present a notion of no-arbitrage price weaker than the one of Werner (1987) that we call weak no-arbitrage price. We prove that in the case of maximin expected utility functions, the existence of one common weak no-arbitrage price is equivalent to the existence of an equilibrium. © 2018 Elsevier B.V.

Keywords: Asset market equilibrium; Individually rational attainable allocations; Individually rational utility set; Maximin expected utility; No-arbitrage condition; No-arbitrage prices (search for similar items in EconPapers)
Date: 2018-05
Note: View the original document on HAL open archive server: https://hal.science/hal-02877948v1
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Published in Journal of Mathematical Economics, 2018, 76, pp.95-100. ⟨10.1016/j.jmateco.2018.01.004⟩

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Related works:
Journal Article: Arbitrage and equilibrium in economies with short-selling and ambiguity (2018)
Working Paper: Arbitrage and equilibrium in economies with short-selling and ambiguity (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02877948

DOI: 10.1016/j.jmateco.2018.01.004

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