Arbitrage and equilibrium in economies with short-selling and ambiguity

DOI10.1016/J.JMATECO.2018.01.004MaRDI QIDQ1748375zbMATH OpenOpenAlexFDO

Authors Thai Ha-Huy, Cuong Le Van, Cuong Tran-Viet

Publication date 9 May 2018

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2018.01.004

zbMATH Keywords

individually rational utility setno-arbitrage conditionmaximin expected utilityasset market equilibriumno-arbitrage pricesindividually rational attainable allocations

Mathematics Subject Classification ID

General equilibrium theory (91B50)

Recommendations

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Cites work

• scientific article; zbMATH DE number 50640 (Why is no real title available?)
• A necessary and sufficient condition for the compactness of individually rational and feasible outcomes and the existence of an equilibrium
• Arbitrage and the Existence of Competitive Equilibrium
• Asset equilibria in \(L^ p\) spaces with complete markets: A duality approach
• Convex Analysis
• Existence Theorems in the Capital Asset Pricing Model
• Existence of equilibrium on asset markets with a countably infinite number of states
• Finite dimensional convexity and optimization
• General equilibrium in asset markets with or without short-selling
• Inconsequential arbitrage
• Maxmin expected utility with non-unique prior
• On equilibrium in Hart's securities exchange model
• Overlapping expectations and Hart's conditions for equilibrium in a securities model
• Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling
• Temporary General Equilibrium Theory
• Temporary General Equilibrium in a Sequential Trading Model with Spot and Futures Transactions
• The Gale-Nikaido-Debreu lemma and the existence of transitive equilibrium with or without the free-disposal assumption
• The geometry of arbitrage and the existence of competitive equilibrium.

Cited in

(5)

• Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling
• Short-term relative arbitrage in volatility-stabilized markets
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities
• Exploiting arbitrage requires short selling

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