Arbitrage, rationality, and equilibrium
نویسندگان
چکیده
منابع مشابه
Arbitrage, rationality, and equilibrium
No-arbitrage is the fundamental principle of economic rationality which unifies normative decision theory, game theory, and market theory. In economic environments where money is available as a medium of measurement and exchange, no-arbitrage is synonymous with subjective expected utility maximization in personal decisions, competitive equilibria in capital markets and exchange economies, and c...
متن کاملArbitrage, Equilibrium and Nonsatiation
In his seminal paper on arbitrage and competitive equilibrium in unbounded exchange economies, Werner (Econometrica, 1987) proved the existence of a competitive equilibrium, under a price noarbitrage condition, without assuming either local or global nonsatiation. Werner's existence result contrasts sharply with classical A substantial part of the paper was written while Allouch was at CERMSEM,...
متن کاملArbitrage and Equilibrium with Portfolio Constraints
We consider a multiperiod financial exchange economy with nominal assets and restricted participation, where each agent’s portfolio choice is restricted to a closed, convex set containing zero, as in Siconolfi (1989). Using an approach that dates back to Cass (1984, 2006) in the unconstrained case, we seek to isolate arbitrage-free asset prices that are also quasi-equilibrium or equilibrium ass...
متن کاملArbitrage and Equilibrium in Economies with Externalities
We introduce consumption externalities into a general equilibriummodel with arbitrary consumption sets. To treat the problem of existence of equilibrium, a condition of no unbounded arbitrage, extending the condition of Page (1987) and Page and Wooders (1993,1996) is defined. It is proven that this condition is sufficient for the existence of an equilibrium and both necessary and sufficient for...
متن کاملRationality and equilibrium in perfect-information games
In generic perfect-information games the unique Subgame-Perfect Equilibrium (SPE) outcome is identical to the one predicted by several rationalizability notions, like Extensive-Form Rationalizability (EFR), the Backward Dominance Procedure (BDP), and Extensive-Form Rationalizability of the Agent form (AEFR). We show that, in contrast, within the general class of perfect information games all th...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Theory and Decision
سال: 1991
ISSN: 0040-5833,1573-7187
DOI: 10.1007/bf00132993