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On the Different Notions of Arbitrage and Existence of Equilibrium

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  • Dana, Rose-Anne
  • Le Van, Cuong
  • Magnien, Francois

Abstract

In this paper we first prove an equilibrium existe theorem for finite dimensional economies with unbounded below consumption sets. We only assume that the individually rational utility set is compact and use the demand approach instead of the standard Negishi's approach. We next compare the different concepts of no-arbitrage that have been used in the literature and give conditions for equivalence between absence of arbitrage and existence of equilibrium. Lastly, we introduce the concept of strong unbounded arbitrage and show that the absence of strong unbounded arbitrage implies the compactness of the individually rational utility set.
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(This abstract was borrowed from another version of this item.)
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  • Dana, Rose-Anne & Le Van, Cuong & Magnien, Francois, 1999. "On the Different Notions of Arbitrage and Existence of Equilibrium," Journal of Economic Theory, Elsevier, vol. 87(1), pages 169-193, July.
  • Handle: RePEc:eee:jetheo:v:87:y:1999:i:1:p:169-193
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    1. Donald J. Brown & Jan Werner, 1995. "Arbitrage and Existence of Equilibrium in Infinite Asset Markets," Review of Economic Studies, Oxford University Press, vol. 62(1), pages 101-114.
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    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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