Arbitrage and equilibrium in economies with short-selling and ambiguity
1 : Maître de conférences
* : Corresponding author
University of Evry-Val-d'Essonne
We consider a model with a finite number of states of nature where short sells are allowed. The agents are ambiguous in the probabilities of the outcomes and they are averse at ambiguity. Each agent faces a set of ambiguity. We present a notion of no-arbitrage price weaker than the one of Werner (1987), and prove the existence of one common weak no-arbitrage price is equivalent to the existence of equilibrium.