Arbitrage in General Equilibrium
نویسندگان
چکیده
منابع مشابه
Arbitrage, rationality, and equilibrium
No-arbitrage is the fundamental principle of economic rationality which unifies normative decision theory, game theory, and market theory. In economic environments where money is available as a medium of measurement and exchange, no-arbitrage is synonymous with subjective expected utility maximization in personal decisions, competitive equilibria in capital markets and exchange economies, and c...
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In his seminal paper on arbitrage and competitive equilibrium in unbounded exchange economies, Werner (Econometrica, 1987) proved the existence of a competitive equilibrium, under a price noarbitrage condition, without assuming either local or global nonsatiation. Werner's existence result contrasts sharply with classical A substantial part of the paper was written while Allouch was at CERMSEM,...
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We introduce consumption externalities into a general equilibriummodel with arbitrary consumption sets. To treat the problem of existence of equilibrium, a condition of no unbounded arbitrage, extending the condition of Page (1987) and Page and Wooders (1993,1996) is defined. It is proven that this condition is sufficient for the existence of an equilibrium and both necessary and sufficient for...
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We consider a multiperiod financial exchange economy with nominal assets and restricted participation, where each agent’s portfolio choice is restricted to a closed, convex set containing zero, as in Siconolfi (1989). Using an approach that dates back to Cass (1984, 2006) in the unconstrained case, we seek to isolate arbitrage-free asset prices that are also quasi-equilibrium or equilibrium ass...
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At arbitrary prices of commodities and assets, fix-price equilibria exist under weak assumptions: endowments need not satisfy an interiority condition, utility functions need only satisfy a very weak monotonicity requirement, and the asset return matrix allows for redundant assets. Prices of assets may permit arbitrage. At equilibrium, though restricted through endogenously determined trading c...
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ژورنال
عنوان ژورنال: Modern Economy
سال: 2012
ISSN: 2152-7245,2152-7261
DOI: 10.4236/me.2012.34051