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Asset Market Equilibrium with Short-Selling

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Author Info
Nielsen, Lars Tyge

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Abstract

This paper presents simple conditions and a simple proof of the existence of equilibrium in asset markets where short-selling is allowed and satiation is possible. Unlike standard nonsatiation assumptions, the one used here is weak enough to be reasonable in the mean-variance capital asset pricing model and in asset market models where investors maximize expected utility and where total returns to individual assets may be negative. Copyright 1989 by The Review of Economic Studies Limited.

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Publisher Info
Article provided by Blackwell Publishing in its journal Review of Economic Studies.

Volume (Year): 56 (1989)
Issue (Month): 3 (July)
Pages: 467-73
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Handle: RePEc:bla:restud:v:56:y:1989:i:3:p:467-73

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  1. Allouch, Nizar, 2001. "A note on two notions of arbitrage," The Warwick Economics Research Paper Series (TWERPS) 623, University of Warwick, Department of Economics. [Downloadable!]
  2. Nizar Allouch, 2003. "A note on two notions of arbitrage," Economics Bulletin, Economics Bulletin, vol. 4(1), pages 1-7. [Downloadable!]
  3. Erkan Yalcin, 2002. "Existence of Equilibrium in Incomplete Markets with Non-Ordered Preferences," GE, Growth, Math methods 0204002, EconWPA. [Downloadable!]
  4. Cuong Le Van & Frank H. Page & Myrna H. Wooders, 2007. "Risky Arbitrage, Asset Prices, and Externalities," Pre- and Post-Print documents halshs-00102698_v1, HAL. [Downloadable!]
    Other versions:
  5. Nizar Allouch & Cuong Le Van & Frank H. Page, 2006. "Arbitrage and equilibrium in unbounded exchange economies with satiation," Pre- and Post-Print documents halshs-00096040_v1, HAL. [Downloadable!]
    Other versions:
  6. Victor Filipe Martins-da-Rocha & Paulo Klinger Monteiro, 2007. "Unbounded exchange economies with satiation: how far can we go?," Economics Working Papers (Ensaios Economicos da EPGE) 646, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
  7. Nizar Allouch, 2000. "Edgeworth and Walras Equilibria of an Arbitrage-Free Exchange Economy," Econometric Society World Congress 2000 Contributed Papers 1901, Econometric Society. [Downloadable!]
  8. Wassim Daher & V. Filipe Martins-Da-Rocha & Yiannis Vailakis, 2005. "Asset market equilibrium with short-selling and differential information," Pre- and Post-Print documents halshs-00173787_v1, HAL. [Downloadable!]
    Other versions:
  9. Brown, Donald & Werner, Jan, 1993. "Arbitrage and Existence of Equilibrium in Infinite Asset Markets," Working Papers 825, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
    Other versions:
  10. Le Van, C. & Page, F.H.Jr. & Wooders, M., 2001. "Arbitrage and Equilibrium in Economies with Externalities," The Warwick Economics Research Paper Series (TWERPS) 588, University of Warwick, Department of Economics. [Downloadable!]
  11. Wassin Daher & V. Filipe Martins-da-Rocha & Yiannis Vailakis, 2005. "Asset market equilibrium with short-selling and differential information," Cahiers de la Maison des Sciences Economiques b05098, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
  12. Nizar Allouch & Monique Florenzano, 2004. "Edgeworth and Walras equilibria of an arbitrage-free exchange economy," Pre- and Post-Print documents halshs-00086096_v1, HAL. [Downloadable!]
    Other versions:
  13. Joseph M. Ostroy, 1995. "Arbitrage of the Flattening Effect of Large Numbers," UCLA Economics Working Papers 737, UCLA Department of Economics. [Downloadable!]
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