Arbitrage and equilibrium in economies with short-selling and ambiguity
Résumé
We consider a model with a finite number of states of nature where short sells are allowed. We present a notion of no-arbitrage price weaker than the one of Werner (1987) that we call weak no-arbitrage price. We prove that in the case of maximin expected utility functions, the existence of one common weak no-arbitrage price is equivalent to the existence of an equilibrium. © 2018 Elsevier B.V.
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