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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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  19. David Kelsey & Frank Milne, 1992. "The arbitrage Pricing Theorem with Non Expected Utility Preferences," Working Papers 866, Queen's University, Department of Economics.
  20. Mas-Colell, Andrew, 1974. "An equilibrium existence theorem without complete or transitive preferences," Journal of Mathematical Economics, Elsevier, vol. 1(3), pages 237-246, December.
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