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Equilibrium and Arbitrage in Incomplete Asset Markets with Fixed Prices

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.
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Contributor : Antoine Haldemann Connect in order to contact the contributor
Submitted on : Sunday, June 5, 2011 - 2:51:46 PM
Last modification on : Friday, September 16, 2016 - 3:21:20 PM


  • HAL Id : hal-00598238, version 1



Jean-Jacques Herings, Heracles M. Polemarchakis. Equilibrium and Arbitrage in Incomplete Asset Markets with Fixed Prices. 2000. ⟨hal-00598238⟩



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