A note on two notions of arbitrage

Nizar Allouch

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: Since Hart's [5] and Werner's [10] seminal papers, several conditions have been proposed to show the existence of equilibrium in an asset exchange economy with short-selling. In this note, we discuss the relationship between two no-arbitrage conditions. The first condition is the assumption that the individually rational utility set U is compact, as considered by Dana, Le Van and Magnien [1]. The second is inconsequential arbitrage, introduced by Page, Wooders and Monteiro [9]. The main result of this comparison is to show that the inconsequential arbitrage condition is stronger than the assumption that U is compact

Keywords: Asset Market; Short Selling; Arbitrage (search for similar items in EconPapers)
JEL-codes: C62 D50 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:623

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