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A note on two notions of arbitrage

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Author Info
Nizar Allouch () (University of Leicester)

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Abstract

In the framework of economics models with unbounded short sales a number of different conditions limiting arbitrage opportunities have been introduced. Dana, Le Van and Magnien [JET.87(1999)169] appeal to the condition of compactness of the individually rational utility set and show that all prior conditions in the literature limiting arbitrage opportunities imply this compactness. More recently,Page, Wooders and Monteiro [JME.34(2000)439] introduced the condition of inconsequential arbitrage. In this note, we add to the conclusion of Dana, Le Van and Magnien [JET.87(1999)169] that inconsequential arbitrage implies the compactness of the individually rational utility set and also demonstrate that the converse does not hold.

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Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 4 (2003)
Issue (Month): 1 ()
Pages: 1-7
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:4:y:2003:i:1:p:1-7

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Related research
Keywords: Arbitrage; Equilibrium; Short-selling;

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Find related papers by JEL classification:
D5 - Microeconomics - - General Equilibrium and Disequilibrium
G0 - Financial Economics - - General

References listed on IDEAS
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  1. Milne, Frank, 1980. "Short-Selling, Default Risk and the Existence of Equilibrium in a Securities Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 255-67, June. [Downloadable!] (restricted)
  2. Dana, R.-A. & Le Van, C. & Magnien, F., 1999. "On the Different Notions of Arbitrage and Existence of Equilibrium," Papiers d'Economie Mathématique et Applications 1999.34, Université Panthéon-Sorbonne (Paris 1).
    Other versions:
  3. PageJr., Frank H. & Wooders, Myrna H. & Monteiro, Paulo K., 2000. "Inconsequential arbitrage," Journal of Mathematical Economics, Elsevier, vol. 34(4), pages 439-469, December. [Downloadable!] (restricted)
    Other versions:
  4. Werner, Jan, 1987. "Arbitrage and the Existence of Competitive Equilibrium," Econometrica, Econometric Society, vol. 55(6), pages 1403-18, November. [Downloadable!] (restricted)
  5. Allouch, Nizar, 2002. "An equilibrium existence result with short selling," Journal of Mathematical Economics, Elsevier, vol. 37(2), pages 81-94, April. [Downloadable!] (restricted)
  6. Hart, Oliver D., 1974. "On the existence of equilibrium in a securities model," Journal of Economic Theory, Elsevier, vol. 9(3), pages 293-311, November. [Downloadable!] (restricted)
  7. Grandmont, Jean-Michel, 1977. "Temporary General Equilibrium Theory," Econometrica, Econometric Society, vol. 45(3), pages 535-72, April. [Downloadable!] (restricted)
  8. Page, Frank Jr., 1996. "Arbitrage and asset prices," Mathematical Social Sciences, Elsevier, vol. 31(3), pages 183-208, June. [Downloadable!] (restricted)
  9. Hammond, Peter J., 1983. "Overlapping expectations and Hart's conditions for equilibrium in a securities model," Journal of Economic Theory, Elsevier, vol. 31(1), pages 170-175, October. [Downloadable!] (restricted)
  10. Nielsen, Lars Tyge, 1989. "Asset Market Equilibrium with Short-Selling," Review of Economic Studies, Blackwell Publishing, vol. 56(3), pages 467-73, July. [Downloadable!] (restricted)
  11. Page, Frank Jr., 1987. "On equilibrium in Hart's securities exchange model," Journal of Economic Theory, Elsevier, vol. 41(2), pages 392-404, April. [Downloadable!] (restricted)
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