Arbitrage and equilibrium in economies with short-selling and ambiguity

B-Tier
Journal: Journal of Mathematical Economics
Year: 2018
Volume: 76
Issue: C
Pages: 95-100

Authors (3)

Ha-Huy, Thai (Université Paris-Saclay) Le Van, Cuong (not in RePEc) Tran-Viet, Cuong (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:eee:mateco:v:76:y:2018:i:c:p:95-100
Journal Field
Theory
Author Count
3
Added to Database
2026-01-25