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

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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: asset market equilibrium; individually rational attainable allocations; individually rational utility set; no-arbitrage prices; no-arbitrage condition (search for similar items in EconPapers)
JEL-codes: C62 D50 D81 D84 G1 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2016-10
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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ftp://mse.univ-paris1.fr/pub/mse/CES2016/16062.pdf (application/pdf)

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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