No arbitrage condition and existence of equilibrium in infinite or finite dimension with expected risk averse utilities

We consider a general equilibrium model in asset markets with a countable set of states and expected risk averse utilities. The agents do not have the same beliefs. We use the methods in Le Van - Truong Xuan (JME, 2001) but one of their assumption which is crucial for obtaining their result cannot be accepted in our model when the number of states is countable. We give a proof of existence of equilibrium when the number of states is inï¬nite or ï¬nite.

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Year of publication:	2008-07
Authors:	Huy, Thai Ha ; Van, Cuong Le ; Nguyen, Manh Hung
Institutions:	Development and Policies Research Center (Depocen)
Subject:	No-arbitrage Conditions \| the two-period wealth model \| No Unbouded Arbitrage \| Weak No Market Arbitrage

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 20 20 pages
Classification:	C62 - Existence and Stability Conditions of Equilibrium ; D50 - General Equilibrium and Disequilibrium. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; D84 - Expectations; Speculations ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004968652