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Arbitrage Opportunities in Financial Markets are not Inconsistent with Competitive Equilibrium

In: Equilibrium and Dynamics

Author

Listed:
  • Lawrence M. Benveniste
  • Juan Ketterer

Abstract

Cass’s (1984) pioneering proof of the existence of competitive equilibrium for economies where financial markets are incomplete and securities’ returns are nominally denoted rests crucially on an information structure that assures the absence of risk free arbitrage in equilibrium. Subsequent existence proofs given by Werner (1985) and Duffle (1987) have also leaned heavily on the assumption that equilibrium will be absent of arbitrage opportunities.

Suggested Citation

  • Lawrence M. Benveniste & Juan Ketterer, 1992. "Arbitrage Opportunities in Financial Markets are not Inconsistent with Competitive Equilibrium," Palgrave Macmillan Books, in: Mukul Majumdar (ed.), Equilibrium and Dynamics, chapter 4, pages 45-54, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-349-11696-6_4
    DOI: 10.1007/978-1-349-11696-6_4
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    Cited by:

    1. Guangsug Hahn & Dong Chul Won, 2007. "Equilibrium in Financial Markets with Market Frictions," Korean Economic Review, Korean Economic Association, vol. 23, pages 267-302.
    2. V.F. Martins-da-Rocha & L. Triki, 2005. "Equilibria in exchange economies with financial constraints: Beyond the Cass Trick," Microeconomics 0503013, University Library of Munich, Germany.
    3. repec:dau:papers:123456789/6894 is not listed on IDEAS

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