Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities
Journal article: 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.
Author(s)
Thai Ha-Huy, Cuong Le Van, Manh-Hung Nguyen
Journal
- Mathematical Social Sciences
Date of publication
- 2016
Keywords JEL
Keywords
- Beliefs
- Asset market equilibrium
- Individually rational attainable al- locations
- Individually rational utility set
- No-arbitrage prices
- No-arbitrage condition
Pages
- 30-39
URL of the HAL notice
Version
- 1
Volume
- 79