TY - JOUR
T1 - Equilibrium and Arbitrage in Incomplete Asset Markets with Fixed Prices
AU - Herings, P.J.J.
AU - Polemarchakis, H.M.
PY - 2002/1/1
Y1 - 2002/1/1
N2 - 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 a 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 persists in an example, an individual holds an arbitrage portfolio.
AB - 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 a 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 persists in an example, an individual holds an arbitrage portfolio.
U2 - 10.1016/S0304-4068(02)00013-7
DO - 10.1016/S0304-4068(02)00013-7
M3 - Article
SN - 0304-4068
VL - 37
SP - 133
EP - 155
JO - Journal of Mathematical Economics
JF - Journal of Mathematical Economics
ER -