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Asset market equilibrium with short-selling and a continuum of number of states of nature

Author

Listed:
  • Thai Ha-Huy

    (Université Paris-Saclay, EPEE - Centre d'Etudes des Politiques Economiques - UEVE - Université d'Évry-Val-d'Essonne)

  • Cuong Le Van

    (PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, IPAG Business School)

Abstract

We consider an economy with a continuum number of states of nature, von Neumann-Morgenstern utilities, where agents have different probability beliefs and where short sells are allowed. We know that no-arbitrage conditions, defined for finite dimensional asset markets models, are not sufficient to ensure existence of equilibrium in presence of an infinite number of states of nature. However, if we give conditions which imply the compactness of U, the individually rational utility set, we obtain an equilibrium. We give conditions which imply the compactness of U. This paper extends to the case of a continuum number of states no-arbitrage conditions in the literature.

Suggested Citation

  • Thai Ha-Huy & Cuong Le Van, 2012. "Asset market equilibrium with short-selling and a continuum of number of states of nature," Working Papers hal-04132780, HAL.
    • Handle: RePEc:hal:wpaper:hal-04132780
    Note: View the original document on HAL open archive server: https://hal.science/hal-04132780
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    References listed on IDEAS

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