Arbitrage and existence of equilibrium in infinite asset markets
This paper develops a framework for a general equilibrium analysis of asset markets when the number of assets is infinite. The authors show that an equilibrium exists if there is a price system under which no investor has an arbitrage opportunity. For the case of infinite asset markets, they introduce a concept of sequential arbitrage opportunity that is a sequence of portfolios which increases an investor's utility indefinitely and has zero price in the limit. The authors show that a sequential arbitrage opportunity and an arbitrage portfolio are equivalent concepts in finite markets but not in their infinite counterpart. Copyright 1995 by The Review of Economic Studies Limited.
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|Date of creation:||Jun 1991|
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