Program > Program by speaker > Tran-Viet Cuong

Arbitrage and equilibrium in economies with short-selling and ambiguity
Cuong Tran-Viet * , Thai Ha-Huy  1, @  , Cuong Le Van, @
1 : Maître de conférences
University of Evry-Val-d'Essonne
* : Corresponding author

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. 

Subject : : oral
Topics : Session Cuong Le Van - Assets General Equilibrium: existence, ambiguity, possibly negative
Keywords : asset market equilibrium ; individually rational attainable allocations ; individually rational utility set ; no arbitrage prices ; no arbitrage condition
Online user: 1