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Arbitrage and Existence of Equilibrium in Infinite Asset Markets

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  • Brown, Donald J
  • Werner, Jan

Abstract

This 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 Info

Article provided by Wiley Blackwell in its journal Review of Economic Studies.

Volume (Year): 62 (1995)
Issue (Month): 1 (January)
Pages: 101-14

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Handle: RePEc:bla:restud:v:62:y:1995:i:1:p:101-14

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