Arbitrage and asset market equilibrium in infinite dimensional economies with risk-averse expected utilities
نویسندگان
چکیده
We consider a model with an infinite numbers of states of nature, von Neumann Morgenstern utilities and where agents have different probability beliefs. 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.
منابع مشابه
Arbitrage, rationality, and equilibrium
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