Arbitrage and equilibrium in economies with short-selling and ambiguity

We consider a model with a finite number of states of nature where short sells are allowed. We present a notion of no-arbitrage price weaker than the one of Werner (1987) that we call weak no-arbitrage price. We prove that in the case of maximin expected utility functions, the existence of one commo...

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Veröffentlicht in:	Journal of mathematical economics 2018-05, Vol.76, p.95-100
Hauptverfasser:	Ha-Huy, Thai, Le Van, Cuong, Tran-Viet, Cuong
Format:	Artikel
Sprache:	eng
Schlagworte:	Ambiguity Arbitrage Asset market equilibrium Equilibrium Expected utility Individually rational attainable allocations Individually rational utility set Maximin expected utility No-arbitrage condition No-arbitrage prices Quantitative Finance Securities markets Short sales Studies Utility functions
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Beschreibung
Zusammenfassung:	We consider a model with a finite number of states of nature where short sells are allowed. We present a notion of no-arbitrage price weaker than the one of Werner (1987) that we call weak no-arbitrage price. We prove that in the case of maximin expected utility functions, the existence of one common weak no-arbitrage price is equivalent to the existence of an equilibrium.
ISSN:	0304-4068 1873-1538
DOI:	10.1016/j.jmateco.2018.01.004