A note on two notions of arbitrage
AbstractSince Hart's  and Werner's  seminal papers, several conditions have been proposed to show the existence of equilibrium in an asset exchange economy with short-selling. In this note, we discuss the relationship between two no-arbitrage conditions. The first condition is the assumption that the individually rational utility set U is compact, as considered by Dana, Le Van and Magnien . The second is inconsequential arbitrage, introduced by Page, Wooders and Monteiro . The main result of this comparison is to show that the inconsequential arbitrage condition is stronger than the assumption that U is compact
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Bibliographic InfoPaper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 623.
Length: 8 pages
Date of creation: 2001
Date of revision:
Asset Market ; Short Selling ; Arbitrage;
Other versions of this item:
- 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
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- Grandmont, Jean-Michel, 1977.
"Temporary General Equilibrium Theory,"
Econometric Society, vol. 45(3), pages 535-72, April.
- Page, F.H.Jr. & Wooders, M.H. & Monteiro, P.K., 1999.
The Warwick Economics Research Paper Series (TWERPS)
561, University of Warwick, Department of Economics.
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- Allouch, Nizar, 2002. "An equilibrium existence result with short selling," Journal of Mathematical Economics, Elsevier, vol. 37(2), pages 81-94, April.
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