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Arbitrage and equilibrium in economies with short-selling and ambiguity

Author

Listed:
  • Thai Ha-Huy

    (EPEE - Centre d'Etudes des Politiques Economiques - UEVE - Université d'Évry-Val-d'Essonne)

  • Cuong Le Van

    (IPAG Business School, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, TIMAS - Institute of Mathematics and Applied Science)

  • Cuong Tran-Viet

    (UP1 - Université Paris 1 Panthéon-Sorbonne, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

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. © 2018 Elsevier B.V.

Suggested Citation

  • Thai Ha-Huy & Cuong Le Van & Cuong Tran-Viet, 2018. "Arbitrage and equilibrium in economies with short-selling and ambiguity," Post-Print hal-02877948, HAL.
    • Handle: RePEc:hal:journl:hal-02877948
    DOI: 10.1016/j.jmateco.2018.01.004
    Note: View the original document on HAL open archive server: https://hal.science/hal-02877948
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    References listed on IDEAS

    as
    1. Donald J. Brown & Jan Werner, 1995. "Arbitrage and Existence of Equilibrium in Infinite Asset Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 62(1), pages 101-114.
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    Full references (including those not matched with items on IDEAS)

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