There is an extensive litarature claiming that it is often difficult to make use of arbitrage opportunities in financial markets. This paper provides a new reason why existing arbitrage opportunities might not be seized. We consider a world with short-lived securities, no short-selling...

We investigate the algorithmic performance of Vickrey-Clarke-Groves mechanisms in the single item case. We provide a formal definition of a Vickrey algorithm for this framework, and give a number of examples of Vickrey algorithms. We consider three performance criteria, one corresponding to a...

The paper addresses the following question: how efficient is the market system in allocating resources if trade takes place at some prices $p$ that are not necessarily competitive? Even though there are many partial answers to this question, an answer that stands comparison to the rigor by which...

We consider the well-known result of Arrow (1953) that the set of equilibria of an economy with complete markets coincides with the one of an economy with sequentially complete markets. We show by means of two examples that this results is problematic when there exist multiple equilibrium...

The literature on the computation of Nash equilibria in n-person games is dominated by simplicial methods. This paper is the first to introduce a globally convergent algorithm that fully exploits the differentiability present in the problem. It presents an everywhere differentiable homotopy to...

This paper is the first to introduce an algorithm to compute stationary equilibria in stochastic games, and shows convergence of the algorithm for almost all such games. Moreover, since in general the number of stationary equilibria is overwhelming, we pay attention to the issue of equilibrium...

Both in game theory and in general equilibrium theory there exists a number of universally stable adjustment processes. In game theory these processes typically serve the role of selecting a Nash equilibrium. Examples are the tracing procedure of Harsanyi and Selten or the equilibrium selection...

The general equilibrium model with incomplete asset markets provides a unified framework for many problems in finance and macroeconomics. In its simplest version with only two time periods and a single physical commodity the model is ideally suited for the study of problems in cross sectional...

By a cooperative game in coalitional structure or shortly coalitional game we mean the standard cooperative non-transferable utility game described by a set of payoffs for each coalition that is a nonempty subset of the grand coalition of all players. It is well-known that balancedness is a...

Many economic and social situations can be represented by a digraph. Both axiomatic and iterative methods to determine the strength or power of all the nodes in a digraph have been proposed in the literature. We propose a new method, where the power of a node is determined by both the number of...