Lee, Jevons C.; Wang, Taychang - Rodney L. White Center for Financial Research, Wharton …
In this paper, we show the reason why the absence of asymptotic arbitrage opportunities in the sense of convergence in quadratic mean (ACQM) as defined in Huberman (1982) is only a necessary condition for an asset market equilibrium. For certain classes of risk-averting investors, a portfolio...