On the Different Notions of Arbitrage and Existence of Equilibrium
AbstractIn this paper we first prove an equilibrium existe theorem for finite dimensional economies with unbounded below consumption sets. We only assume that the individually rational utility set is compact and use the demand approach instead of the standard Negishi's approach. We next compare the different concepts of no-arbitrage that have been used in the literature and give conditions for equivalence between absence of arbitrage and existence of equilibrium. Lastly, we introduce the concept of strong unbounded arbitrage and show that the absence of strong unbounded arbitrage implies the compactness of the individually rational utility set.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Theory.
Volume (Year): 87 (1999)
Issue (Month): 1 (July)
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Web page: http://www.elsevier.com/locate/inca/622869
Other versions of this item:
- Dana, R.-A. & Le Van, C. & Magnien, F., 1999. "On the Different Notions of Arbitrage and Existence of Equilibrium," Papiers d'Economie MathÃÂ©matique et Applications 1999.34, UniversitÃ© PanthÃ©on-Sorbonne (Paris 1).
- Dana, Rose-Anne & Le Van, Cuong & Magnien, François, 1996. "On the different notions of arbitrage and existence of equilibrium," CEPREMAP Working Papers (Couverture Orange) 9616, CEPREMAP.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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