文章基本信息

标题：Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities
作者：Cuong Le Van ; Thai Ha-Huy ; Nguyen Manh-Hung 等
期刊名称：Documents de Travail du Centre d'Economie de la Sorbonne
印刷版ISSN：1955-611X
出版年度：2016
出版社：Centre d'Economie de la Sorbonne
摘要：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.
关键词：asset market equilibrium; individually rational attainable allocations; individually rational utility set; no-arbitrage prices; no-arbitrage condition