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

VL - 37

SP - 133

EP - 155

JO - Journal of Mathematical Economics

JF - Journal of Mathematical Economics

SN - 0304-4068

ER -