Implementing Arrow-debreu Equilibria by T Rading Innnitely-lived Securities
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A Market Test for the Positivity of Arrow-Debreu Prices
We derive tractable necessary and sufficient conditions for the absence of buy-and-hold arbitrage opportunities in a perfectly liquid, one period market. We formulate the positivity of Arrow-Debreu prices as a generalized moment problem to show that this no arbitrage condition is equivalent to the positive semidefiniteness of matrices formed by the market price of tradeable securities and their...
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تاریخ انتشار 1986