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Persistent link: https://www.econbiz.de/10010799318
The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature to insure existence of Pareto optima and equilibria with short-selling when investors have a single belief about future returns, is reconsidered. Investors use measures of risk....
Persistent link: https://www.econbiz.de/10010707106
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The theory of existence of equilibrium with short-selling is reconsidered under risk and ambiguity modelled by risk averse variational preferences. No-arbitrage conditions are given in terms of risk adjusted priors. A sufficient condition for existence of efficient allocations is the overlapping...
Persistent link: https://www.econbiz.de/10010708543
In this paper we first prove an equilibrium existence theorem for finite dimensional economies with unbounded below consumption sets. We only assume that the individually rational utility set is compact and use the demand approach instead of the standard Negishi's approach. We next compare the...
Persistent link: https://www.econbiz.de/10010708721
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The theory of existence of equilibrium with short-selling is reconsidered under risk and ambiguity modelled by risk averse variational preferences. A sufficient condition for existence of efficient allocations is that the relative interiors of the risk adjusted sets of expectations overlap. This...
Persistent link: https://www.econbiz.de/10011072068
In finite dimensional economies, it was proven by Werner [Werner, J., 1987. Arbitrage and the existence of competitive equilibrium. Econometrica 55, 1403–1418.], that if there exists a no-arbitrage price (equivalently, under standard assumptions on agents' utilities, if aggregate demand exists...
Persistent link: https://www.econbiz.de/10011073126