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No arbitrage condition and existence of equilibrium in infinite or finite dimension with expected risk averse utilities

Author

Listed:
  • Thai Ha Huy

    (University Paris 1, CNRS CES, Paris, France)

  • Cuong Le Van

    (PSE, University Paris 1, CNRS CES, Paris, France)

  • Manh Hung Nguyen

    (Toulouse School of Economics, LERNA-INRA)

Abstract

We consider a general equilibrium model in asset markets with a countable set of states and expected risk averse utilities. The agents do not have the same beliefs. We use the methods in Le Van - Truong Xuan (JME, 2001) but one of their assumption which is crucial for obtaining their result cannot be accepted in our model when the number of states is countable. We give a proof of existence of equilibrium when the number of states is inï¬ nite or ï¬ nite.

Suggested Citation

  • Thai Ha Huy & Cuong Le Van & Manh Hung Nguyen, 2008. "No arbitrage condition and existence of equilibrium in infinite or finite dimension with expected risk averse utilities," Working Papers 38, Development and Policies Research Center (DEPOCEN), Vietnam.
    • Handle: RePEc:dpc:wpaper:2008
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    JEL classification:

    • 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
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G1 - Financial Economics - - General Financial Markets

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