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A note on two notions of arbitrage

By Nizar Allouch

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

Topics: HG
Publisher: University of Warwick, Department of Economics
Year: 2001
OAI identifier: oai:wrap.warwick.ac.uk:1567

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Citations

  1. (1987). Arbitrage and the existence of competitive equilibrium, doi
  2. (1989). Asset market equilibrium with short selling, doi
  3. (2000). Inconsequential arbitrage, doi
  4. On equilibrium in Hart's securities exchange model, doi
  5. (1999). On the diĀ®erent notions of arbitrage and existence of equilibrium, doi
  6. On the existence of an equilibrium in a securities model, doi
  7. (1983). Overlapping expectations and Hart's condition for equilibrium in a securities model, doi
  8. (1980). Short selling, default risk and the existence of equilibrium in a securities model, doi
  9. (1977). Temporary general equilibrium theory, doi

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