Arbitrage and Existence of Equilibrium in Infinite Asset Markets
AbstractThis paper develops a framework for a general equilibrium analysis of asset markets when the number of assets is infinite. The authors show that an equilibrium exists if there is a price system under which no investor has an arbitrage opportunity. For the case of infinite asset markets, they introduce a concept of sequential arbitrage opportunity that is a sequence of portfolios which increases an investor's utility indefinitely and has zero price in the limit. The authors show that a sequential arbitrage opportunity and an arbitrage portfolio are equivalent concepts in finite markets but not in their infinite counterpart. Copyright 1995 by The Review of Economic Studies Limited.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Review of Economic Studies.
Volume (Year): 62 (1995)
Issue (Month): 1 (January)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0034-6527
Other versions of this item:
- Brown, D.J. & Werner, J., 1992. "Arbitrage and Existence of Equilibrium in Finite Asset Markets," Papers 43, Stanford - Institute for Thoretical Economics.
- Brown,Donald & Werner,Jan, 1991. "Arbitrage and existence of equilibrium in infinite asset markets," Discussion Paper Serie A 344, University of Bonn, Germany.
- 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.
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