No-arbitrage and Equilibrium in Finite Dimension: A General Result

Thai Ha-Huy (1) , Cuong Le Van (2, 3, 4) , Frank Page (5) , Myrna Wooders (6)

1 EPEE - Centre d'Etudes des Politiques Economiques
2 PSE - Paris School of Economics
3 CES - Centre d'économie de la Sorbonne
4 IPAG Business School
5 Department of Economics, Indiana University
6 Vanderbilt University [Nashville]

We consider an exchange economy with a finite number of assets and a finite number of agents. The utility functions of the agents are concave, strictly increasing and their suprema equal infity. We use weak no-arbitrage prices a la Dana and Le Van [5]. Our main result is: an equilibrium exists if, and only if, their exists a weak no-arbitrage price common to all the agents.

Keywords: asset market equilibrium; individually rational attainable allocations; individually rational utility set; no-arbitrage prices; weak no-arbitrage prices; no-arbitrage condition

Domains: Economics and Finance

Thai Ha-Huy, Cuong Le Van, Frank Page, Myrna Wooders. No-arbitrage and Equilibrium in Finite Dimension: A General Result. 2017. ⟨halshs-01529663⟩