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Arbitrage and Existence of Equilibrium in Finite Asset Markets

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  • Brown, D.J.
  • Werner, J.

Abstract

This paper develops a framework for a general equilibrium analysis of asset markets when the number of assets is infinite. The authors show that an equilibrium exists if there is a price system under which no investor has an arbitrage opportunity. For the case of infinite asset markets, they introduce a concept of sequential arbitrage opportunity that is a sequence of portfolios which increases an investor's utility indefinitely and has zero price in the limit. The authors show that a sequential arbitrage opportunity and an arbitrage portfolio are equivalent concepts in finite markets but not in their infinite counterpart. Copyright 1995 by The Review of Economic Studies Limited.

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Bibliographic Info

Paper provided by Stanford - Institute for Thoretical Economics in its series Papers with number 43.

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Length: 21 pages
Date of creation: 1992
Date of revision:
Handle: RePEc:fth:stante:43

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Keywords: economic equilibrium ; economic models;

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