Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities
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- ISIDORE Id: 10670/1.061317...
- hal: hal-01302519
- doi: 10.1016/j.mathsocsci.2015.10.007
- PRODINRA: 349668
- WOS: 000369204900005
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.mathsocsci.2015.10.007
info:eu-repo/semantics/OpenAccess
Mots-clés
beliefs asset market equilibrium individually rational attainable al- locations Individually rational utility set no-arbitrage prices no-arbitrage condition C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C62 - Existence and Stability Conditions of Equilibrium D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D50 - General D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D81 - Criteria for Decision-Making under Risk and Uncertainty D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D84 - Expectations • Speculations G - Financial Economics/G.G1 - General Financial MarketsSujets proches
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Thai Ha-Huy et al., « Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities », HAL SHS (Sciences de l’Homme et de la Société), ID : 10.1016/j.mathsocsci.2015.10.007
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Résumé
We consider a model with an infinite number of states of nature, von Neumann–Morgenstern utilities, where agents have different probability beliefs and where short sells are allowed. We show that no-arbitrage conditions, defined for finite dimensional asset markets models, are not sufficient to ensure existence of equilibrium in presence of an infinite number of states of nature. However, if the individually rational utility set U is compact, we obtain an equilibrium. We give conditions which imply the compactness of U. We give examples of non-existence of equilibrium when these conditions do not hold.
