A note on two notions of arbitrage
Allouch, Nizar (2001) A note on two notions of arbitrage. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.623).
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Since Hart's  and Werner's  seminal papers, several conditions have been proposed to show the existence of equilibrium in an asset exchange economy with short-selling. In this note, we discuss the relationship between two no-arbitrage conditions. The first condition is the assumption that the individually rational utility set U is compact, as considered by Dana, Le Van and Magnien . The second is inconsequential arbitrage, introduced by Page, Wooders and Monteiro . The main result of this comparison is to show that the inconsequential arbitrage condition is stronger than the assumption that U is compact.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Faculty of Social Sciences > Economics|
|Library of Congress Subject Headings (LCSH):||Assets (Accounting), Arbitrage, Securities, Short selling|
|Series Name:||Warwick economic research papers|
|Publisher:||University of Warwick, Department of Economics|
|Place of Publication:||Coventry|
|Number of Pages:||8|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
 R.-A. Dana, C. Le Van and F. Magnien, On the different notions of arbitrage and existence of equilibrium, Journal of Economic Theory 86 (1999), 169-193.
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