Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities
1
EPEE -
Centre d'Etudes des Politiques Economiques
2 IPAG Business School
3 CES - Centre d'économie de la Sorbonne
4 PSE - Paris School of Economics
5 TSE-R - Toulouse School of Economics
6 VCREME - Van Xuan Center of Research in Economics, Management and Environment
7 INRA - Institut National de la Recherche Agronomique
2 IPAG Business School
3 CES - Centre d'économie de la Sorbonne
4 PSE - Paris School of Economics
5 TSE-R - Toulouse School of Economics
6 VCREME - Van Xuan Center of Research in Economics, Management and Environment
7 INRA - Institut National de la Recherche Agronomique
Thai Ha-Huy
- Fonction : Auteur
- PersonId : 1222333
- IdHAL : thai-ha-huy
- ORCID : 0000-0001-9384-834X
Cuong Le Van
- Fonction : Auteur
- PersonId : 835139
- ORCID : 0000-0002-2710-522X
- IdRef : 050221027
Manh-Hung Nguyen
- Fonction : Auteur
- PersonId : 1240087
- IdHAL : manh-hung-nguyen
- ORCID : 0000-0003-1887-0226
- IdRef : 198691491
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.
Domaines
Economies et financesFormat du dépôt | Fichier |
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Type de dépôt | Article dans une revue |
Titre |
en
Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities
|
Résumé |
en
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.
|
Auteur(s) |
Thai Ha-Huy
1
, Cuong Le Van
2, 3, 4
, Manh-Hung Nguyen
5, 6, 7
1
EPEE -
Centre d'Etudes des Politiques Economiques
( 19169 )
- 4, boulevard François Mitterrand, 91025 EVRY CEDEX
- France
2
IPAG Business School
( 542840 )
- 184 boulevard Saint-Germain, 75006 Paris
- France
3
CES -
Centre d'économie de la Sorbonne
( 15080 )
- Maison des Sciences Économiques - 106-112 Boulevard de l'Hôpital - 75647 Paris Cedex 13
- France
4
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
5
TSE-R -
Toulouse School of Economics
( 93477 )
- Manufacture de Tabacs, 21 allées de Brienne 31000 Toulouse
- France
6
VCREME -
Van Xuan Center of Research in Economics, Management and Environment
( 155772 )
- 38, alley 133, Thai Ha Street, Ha Noi
- Viêt Nam
7
INRA -
Institut National de la Recherche Agronomique
( 92114 )
- France
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Nom de la revue |
|
Volume |
79
|
Date de publication |
2016-01
|
Audience |
Internationale
|
Page/Identifiant |
30-39
|
Public visé |
Scientifique
|
Version du document |
version éditeur
|
Langue du document |
Anglais
|
Date de production/écriture |
2015-10-18
|
Domaine(s) |
|
Financement |
|
Voir aussi |
|
Mots-clés (JEL) |
|
Mots-clés |
en
beliefs, asset market equilibrium, individually rational attainable al- locations, Individually rational utility set, no-arbitrage prices, no-arbitrage condition
|
DOI | 10.1016/j.mathsocsci.2015.10.007 |
ProdINRA | 349668 |
UT key WOS | 000369204900005 |
Origine :
Fichiers produits par l'(les) auteur(s)
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