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Risky arbitrage, asset prices, and externalities

By Cuong Le Van, Frank H. Page Jr. and Myrna Wooders

Abstract

We introduce a no-risky-arbitrage price condition (NRAP) for asset market models allowing both unbounded short sales and externalities such as trading volume. We then demonstrate that NRAP is sufficient for the existence of competitive equilibrium in the presence of externalities. Moreover, we show that if all risky arbitrages are utility increasing, then NRAP characterizes competitive equilibrium in the presence of externalities

Topics: HC
Publisher: SPRINGER
OAI identifier: oai:wrap.warwick.ac.uk:31413
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