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Risky Arbitrage, Asset Prices, and Externalities

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Author Info
Cuong Le Van () (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I)
Frank H. Page (University of Alabama - University of Alabama)
Myrna H. Wooders (Vanderbilt University - Vanderbilt University)

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Abstract

We introduce a no-risky-arbitrage price condition (NRAP) for asset market models allowing both unbounded short sales and externalities such as trading volume. We then demonstrate that NRAP is sufficient for the existence of competitive equilibrium in the presence ofexternalities. Moreover, we show that if all risky arbitrages are utility increasing, then NRAP characterizes competitive equilibrium in the
presence of externalities.

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Publisher Info
Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne, Post-Print with number halshs-00102698_v1.

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Date of creation: Dec 2007
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Publication status: Published, Economic Theory, 2007, 33, 3, 475-491
Handle: RePEc:hal:cesptp:halshs-00102698_v1

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Related research
Keywords: Risky Arbitrage Competitive Equilibrium Asset+Prices> Viable
Asset Prices

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References listed on IDEAS
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  1. 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!]
  2. Brown, Donald J & Werner, Jan, 1995. "Arbitrage and Existence of Equilibrium in Infinite Asset Markets," Review of Economic Studies, Blackwell Publishing, vol. 62(1), pages 101-14, January. [Downloadable!] (restricted)
    Other versions:
  3. Dana, R.-A. & Le Van, C. & Magnien, F., 1999. "On the Different Notions of Arbitrage and Existence of Equilibrium," Papers 1999.34, Paris I - Economie Mathematique et Applications.
    Other versions:
  4. PageJr., Frank H. & Wooders, Myrna H. & Monteiro, Paulo K., 2000. "Inconsequential arbitrage," Journal of Mathematical Economics, Elsevier, vol. 34(4), pages 439-469, December. [Downloadable!] (restricted)
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  5. Werner, Jan, 1987. "Arbitrage and the Existence of Competitive Equilibrium," Econometrica, Econometric Society, vol. 55(6), pages 1403-18, November. [Downloadable!] (restricted)
  6. Allouch, Nizar, 2002. "An equilibrium existence result with short selling," Journal of Mathematical Economics, Elsevier, vol. 37(2), pages 81-94, April. [Downloadable!] (restricted)
  7. Monique Florenzano, 2007. "General equilibrium," Documents de travail du Centre d'Economie de la Sorbonne b08005, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne. [Downloadable!]
  8. Grandmont, Jean-Michel, 1977. "Temporary General Equilibrium Theory," Econometrica, Econometric Society, vol. 45(3), pages 535-72, April. [Downloadable!] (restricted)
  9. Green, Jerry R, 1973. "Temporary General Equilibrium in a Sequential Trading Model with Spot and Futures Transactions," Econometrica, Econometric Society, vol. 41(6), pages 1103-23, November. [Downloadable!] (restricted)
  10. Bonnisseau, J.M., 1995. "Existence of Equilibria in Economies with Externalities and Non Convexities," Papers 95.45, Paris I - Economie Mathematique et Applications.
  11. Kreps, David M., 1981. "Arbitrage and equilibrium in economies with infinitely many commodities," Journal of Mathematical Economics, Elsevier, vol. 8(1), pages 15-35, March. [Downloadable!] (restricted)
  12. Hammond, Peter J., 1983. "Overlapping expectations and Hart's conditions for equilibrium in a securities model," Journal of Economic Theory, Elsevier, vol. 31(1), pages 170-175, October. [Downloadable!] (restricted)
  13. Bonnisseau, J.M. & Medecin, J.-P., 2000. "Existence of Marginal Pricing Equilibria in Economies with Externalities and Non Convexities," Papers 2000.84, Paris I - Economie Mathematique et Applications.
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  14. Bonnisseau, J-M. & Cornet, B., 1988. "Existence Of Marginal Cost Pricing Equilibria: The Nonsmooth Case," Papers 8815, Catholique de Louvain - Center for Operations Research and Economics.
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  15. Nielsen, Lars Tyge, 1989. "Asset Market Equilibrium with Short-Selling," Review of Economic Studies, Blackwell Publishing, vol. 56(3), pages 467-73, July. [Downloadable!] (restricted)
  16. Page, Frank Jr., 1987. "On equilibrium in Hart's securities exchange model," Journal of Economic Theory, Elsevier, vol. 41(2), pages 392-404, April. [Downloadable!] (restricted)
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