General Equilibrium in Asset Markets With or Without Short-Selling

✍ Scribed by Rose-Anne Dana; Cuong Le Van; François Magnien

• Publisher: Elsevier Science
• Year: 1997
• Tongue: English
• Weight: 221 KB
• Volume: 206
• Category: Article
• ISSN: 0022-247X
• DOI: 10.1006/jmaa.1997.5269

✦ Synopsis

In this paper we extend the results of Cheng J. Math. Econom. 20 1991 , x w Ž .

x 137᎐152 and Brown and Werner Re¨. Economic Studies 62 1995 , 101᎐114 on the existence of equilibrium in infinite dimensional asset markets. We do not assume that each agent's preferred sets have a uniform direction of improvement, but assume that the preferred sets of attainable allocations have nonempty interiors. We then deduce existence theorems for asset markets without short-selling and for the capital asset pricing model.