Arbitrage and Existence of Equilibrium in Infinite Asset Markets.

This paper develops a framework for a general equilibrium analysis of asset markets when the number of assets is infinite. The authors show that an equilibrium exists if there is a price system under which no investor has an arbitrage opportunity. For the case of infinite asset markets, they introduce a concept of sequential arbitrage opportunity that is a sequence of portfolios which increases an investor's utility indefinitely and has zero price in the limit. The authors show that a sequential arbitrage opportunity and an arbitrage portfolio are equivalent concepts in finite markets but not in their infinite counterpart. Copyright 1995 by The Review of Economic Studies Limited.