No arbitrage condition and existence of equilibrium in infinite or finite dimension with expected risk averse utilities
AbstractWe 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 InfoPaper provided by Development and Policies Research Center (DEPOCEN), Vietnam in its series Working Papers with number 20.
Length: 20 pages
Date of creation: Jul 2008
Date of revision:
No-arbitrage Conditions; the two-period wealth model; No Unbouded Arbitrage; Weak No Market Arbitrage;
Other versions of this item:
- Thai Ha Huy & Cuong Le Van & Manh Hung NGUYEN, 2008. "No arbitrage condition and existence of equilibrium in infinite or finite dimension with expected risk averse utilities," LERNA Working Papers 08.27.271, LERNA, University of Toulouse.
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
- D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- G1 - Financial Economics - - General Financial Markets
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