Cornet, Bernard; Ranjan, Abhishek - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012
We study the convexity property of the set of arbitrage-free prices for a multi-period financial exchange economy. We … we show that a financial exchange economy with the set of arbitrage-free prices neither convex nor cone can be equivalent … to a financial exchange economy with the convex cone set of arbitrage-free prices. …