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The arbitrage pricing theorem with incomplete preferences

  • Kelsey, David
  • Yalcin, Erkan

This paper proves existence of equilibrium and the arbitrage pricing theorem for an asset exchange economy, where the individual's preferences may be incomplete or intransitive. This extends existing results to a more general set of individual preferences. We also prove the arbitrage pricing theorem for a theory of choice under uncertainty by Bewley [1986]. These preferences model Knightian uncertainty by allowing for the possibility that preferences are incomplete.

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Article provided by Elsevier in its journal Mathematical Social Sciences.

Volume (Year): 54 (2007)
Issue (Month): 1 (July)
Pages: 90-105

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Handle: RePEc:eee:matsoc:v:54:y:2007:i:1:p:90-105
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505565

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  1. Duffie, Darrell & Shafer, Wayne, 1985. "Equilibrium in incomplete markets: I : A basic model of generic existence," Journal of Mathematical Economics, Elsevier, vol. 14(3), pages 285-300, June.
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  7. Machina, Mark J, 1982. ""Expected Utility" Analysis without the Independence Axiom," Econometrica, Econometric Society, vol. 50(2), pages 277-323, March.
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  15. repec:dgr:kubcen:199555 is not listed on IDEAS
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  20. Werner,Jan, 1988. "Equilibrium with incomplete markets without ordered preferences," Discussion Paper Serie A 184, University of Bonn, Germany.
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  27. repec:dgr:kubcen:1998128 is not listed on IDEAS
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