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No arbitrage condition and existence of equilibrium in infinite or finite dimension with expected risk averse utilities

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  • Thai Ha Huy

    ()
    (University Paris 1, CNRS CES, Paris, France)

  • Cuong Le Van

    ()
    (PSE, University Paris 1, CNRS CES, Paris, France)

  • Manh Hung Nguyen

    ()
    (Toulouse School of Economics, LERNA-INRA)

Abstract

We consider a general equilibrium model in asset markets with a countable set of states and expected risk averse utilities. The agents do not have the same beliefs. We use the methods in Le Van - Truong Xuan (JME, 2001) but one of their assumption which is crucial for obtaining their result cannot be accepted in our model when the number of states is countable. We give a proof of existence of equilibrium when the number of states is inï¬nite or ï¬nite.

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Bibliographic Info

Paper provided by Development and Policies Research Center (DEPOCEN), Vietnam in its series Working Papers with number 20.

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Length: 20 pages
Date of creation: Jul 2008
Date of revision:
Handle: RePEc:dpc:wpaper:2008

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Keywords: No-arbitrage Conditions; the two-period wealth model; No Unbouded Arbitrage; Weak No Market Arbitrage;

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  1. Page Jr., Frank H. & Wooders, Myrna Holtz, 1996. "A necessary and sufficient condition for the compactness of individually rational and feasible outcomes and the existence of an equilibrium," Economics Letters, Elsevier, vol. 52(2), pages 153-162, August.
  2. Allouch, Nizar & Le Van, Cuong & Page, Frank Jr., 2002. "The geometry of arbitrage and the existence of competitive equilibrium," Journal of Mathematical Economics, Elsevier, vol. 38(4), pages 373-391, December.
  3. Page, F.H.Jr. & Wooders, M.H. & Monteiro, P.K., 1999. "Inconsequential Arbitrage," The Warwick Economics Research Paper Series (TWERPS) 561, University of Warwick, Department of Economics.
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