European Business Schools Librarian's Group

Les Cahiers de Recherche,
HEC Paris

No 696: Equilibrium and arbitrage in incomplete asset markets with fixed prices

H. M. POLEMARCHAKIS and P. J. J. HERINGS

Abstract: At arbitrary prices of commodities and assets, fix-price equilibria exist under weak assumptions: endowments need not satisfy an interiority condition, utility functions need only satisfy are very weak monotonicity requirement, and the asset return matrix allows for redundant assets. Prices of assets may permit arbitrage. At equilibrium, though restricted through endogenously determined trading constraints, arbitrage possibilities may persist; in an example, an individual holds an arbitrage portfolio.

Keywords: Incomplete asset market; fix-price equilibrium; arbitrage

JEL-codes: D45; D52; D60

31 pages, February 1, 2000

Download statistics

Questions (including download problems) about the papers in this series should be directed to Antoine Haldemann ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2018-02-22 16:52:54.