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Ha-Huy, Thai, Le Van, Quang
and Nguyen, Manh-Hung
(2013)
Arbitrage and asset market equilibrium in infinite dimensional economies with risk-averse expected utilities.
, Toulouse
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Abstract
We consider a model with an infinite numbers of states of nature, von
Neumann - Morgenstern utilities and where agents have different prob-
ability beliefs. 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. How-
ever, 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.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Language: | English |
| Date: | April 2013 |
| Place of Publication: | Toulouse |
| Uncontrolled Keywords: | asset market equilibrium, individually rational attainable al- locations, individually rational utility set, no-arbitrage prices, no-arbitrage condition |
| JEL Classification: | C62 - Existence and Stability Conditions of Equilibrium D50 - General D81 - Criteria for Decision-Making under Risk and Uncertainty D84 - Expectations; Speculations G1 - General Financial Markets |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Institution: | Université Toulouse Capitole |
| Site: | UT1 |
| Date Deposited: | 09 Jul 2014 17:36 |
| Last Modified: | 02 Apr 2021 15:48 |
| OAI Identifier: | oai:tse-fr.eu:27227 |
| URI: | https://publications.ut-capitole.fr/id/eprint/15631 |
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