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Arbitrage and the Existence of Competitive Equilibrium

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Author Info
Werner, Jan
Abstract

A general equilibrium model of markets for commodities and assets is considered. The author develops the notion of a price system that admits no arbitrage opportunity and demonstrates the fundamenta l role of this concept for the theory of the existence of a competiti ve equilibrium. A price system admits no arbitrage opportunity for a consumer if every bundle of desired commodities has a positive market value. The author proves that the existence of a price system that a dmits no arbitrage opportunity for all consumers is sufficient for th e existence of an equilibrium. Copyright 1987 by The Econometric Society.

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Publisher Info
Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 55 (1987)
Issue (Month): 6 (November)
Pages: 1403-18
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Handle: RePEc:ecm:emetrp:v:55:y:1987:i:6:p:1403-18

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  1. Manh-Hung Nguyen & Thai Ha-Huy, 2008. "No unbounded arbitrage, weak no market arbitrage and no arbitrage price system conditions: The circular results," THEMA Working Papers 2008-08, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
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  2. Wassim Daher & V. Martins-da-Rocha & Yiannis Vailakis, 2007. "Asset market equilibrium with short-selling and differential information," Economic Theory, Springer, vol. 32(3), pages 425-446, September. [Downloadable!] (restricted)
    Other versions:
  3. LE VAN, Cuong & BA MINH, Nguyen, 2004. "No-arbitrage condition and existence of equilibrium with dividends," CORE Discussion Papers 2004034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  4. Norihisa Sato, 2008. "Some sufficient conditions for the existence of a competitive equilibrium in economies with satiated consumers," Economics Bulletin, Economics Bulletin, vol. 3(73), pages 1-8. [Downloadable!]
  5. Nizar Allouch, 2003. "A note on two notions of arbitrage," Economics Bulletin, Economics Bulletin, vol. 4(1), pages 1-7. [Downloadable!]
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  6. Erkan Yalcin, 2002. "Existence of Equilibrium in Incomplete Markets with Non-Ordered Preferences," GE, Growth, Math methods 0204002, EconWPA. [Downloadable!]
  7. Martins-da-Rocha, V. F. & Monteiro, Paulo Klinger, 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!]
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  8. Cuong Le Van & Frank H. Page & Myrna H. Wooders, 2007. "Risky Arbitrage, Asset Prices, and Externalities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00102698_v1, HAL. [Downloadable!]
  9. Nizar Allouch & Cuong Le Van, 2008. "Walras and dividends equilibrium with possibly satiated consumers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00101189_v2, HAL. [Downloadable!]
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  10. 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!]
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  11. Cuong Le Van & Nguyen Ba Minh, 2004. "No-arbitrage condition and existence of equilibrium with dividends," Cahiers de la Maison des Sciences Economiques b04058, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
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  12. David Kelsey & Erkan Yalcin, 2004. "The Arbitrage Pricing Theorem with Incomplete Preferences," GE, Growth, Math methods 0401002, EconWPA. [Downloadable!]
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  13. Rose-Anne Dana & Cuong Le Van, 2008. "Overlapping sets of priors and the existence ofefficient allocations and equilibria for risk measures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00308530_v1, HAL. [Downloadable!]
  14. Chichilnisky, Graciela, 1996. "Markets and games: a simple equivalence among the core, equilibrium and limited arbitrage," MPRA Paper 8492, University Library of Munich, Germany. [Downloadable!]
  15. Cuong Le Van & Frank H. Page, Jr. & Myrna Wooders, 2005. "Risky Arbitage, Asset Prices, and Externalities," Working Papers 0524, Department of Economics, Vanderbilt University. [Downloadable!]
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  16. Cuong Le Van & Nguyen Ba Minh, 2007. "No-arbitrage condition and existence of equilibrium with dividends," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00101177_v1, HAL. [Downloadable!]
  17. Nizar Allouch, 2000. "Edgeworth and Walras Equilibria of an Arbitrage-Free Exchange Economy," Econometric Society World Congress 2000 Contributed Papers 1901, Econometric Society. [Downloadable!]
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  18. Nizar Allouch & Cuong Le Van & Frank H. Page, 2006. "Arbitrage and equilibrium in unbounded exchange economies with satiation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00096040_v1, HAL. [Downloadable!]
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  19. 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!]
  20. 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!]
  21. Joseph M. Ostroy, 1995. "Arbitrage of the Flattening Effect of Large Numbers," UCLA Economics Working Papers 737, UCLA Department of Economics. [Downloadable!]
  22. D. Won & G. Hahn & N. Yannelis, 2008. "Capital market equilibrium without riskless assets: heterogeneous expectations," Annals of Finance, Springer, vol. 4(2), pages 183-195, March. [Downloadable!] (restricted)
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