Equilibrium and Arbitrage in Incomplete Asset Markets with Fixed Prices - HEC Paris - École des hautes études commerciales de Paris Access content directly
Reports Year : 2000

Equilibrium and Arbitrage in Incomplete Asset Markets with Fixed Prices

Abstract

At arbitrary prices of commodities and assets, fix-price equilibria exist under weak assumptions: endowments need not satisfy an interiority condition, utility functions need only satisfy are very weak monotonicity requirement, and the asset return matrix allows for redundant assets. Prices of assets may permit arbitrage. At equilibrium, though restricted through endogenously determined trading constraints, arbitrage possibilities may persist; in an example, an individual holds an arbitrage portfolio.
No file

Dates and versions

hal-00598238 , version 1 (05-06-2011)

Identifiers

  • HAL Id : hal-00598238 , version 1

Cite

Jean-Jacques Herings, Heracles M. Polemarchakis. Equilibrium and Arbitrage in Incomplete Asset Markets with Fixed Prices. 2000. ⟨hal-00598238⟩

Collections

HEC LARA
59 View
0 Download

Share

Gmail Facebook X LinkedIn More