In an economy with a non-atomic measure space of assets and exchangeable risks, the Arbitrage Pricing Theory (APT …

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital … the dynamics of arbitrage activity are self-correcting: following a shock that depletes arbitrage capital, profitability … trades, although arbitrageurs cut their positions in these trades the least. When arbitrage capital is more mobile across …

There is an extensive literature claiming that it is often difficult to make use of arbitrage opportunities in nancial … markets. This paper provides a new reason why existing arbitrage opportunities might not be seized. We consider a world with … arbitrage opportunities, traders should pay attention to all nancial markets simultaneously. It gives a general result stating …

[1975] and Radner [1979] equilibrium always existed in this model, as long as agents' anticipations precluded arbitrage. The … suggest it may be otherwise. We propose to show that agents, whose prior anticipation sets yield an arbitrage, may update … infer smaller arbitrage-free anticipation sets, which can not be narrowed down any further. Once these sets are attained …

's purpose is twofold. First, it defines no-arbitrage prices, which comprise all equilibrium prices, and displays their revealing …

's purpose is twofold. First, it defines no-arbitrage prices, which comprise all equilibrium prices, and displays their revealing …

[1975] and Radner [1979], equilibrium always existed in this model, as long as agents' anticipations precluded arbitrage …. Hereafter, we suggest it may be otherwise. We propose to show that agents, whose prior anticipation sets yield an arbitrage, may … eventually infer smaller arbitrage-free anticipation sets, which cannot be narrowed down any further. Once these sets are …

In [2], we had extended the classical concepts and arbitrage theory of symmetric information, to an asymmetric … enough information, in this model, to rule out arbitrage from markets. In [4], we extended to that model Cass' (1984 … generalized no-arbitrage condition introduced in [2], whether agents had symmetric or asymmetric information. We now display the …