Equilibrium and arbitrage in incomplete asset markets with fixed prices |
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| Institution: | 1. College of Chemistry and Environmental Engineering, Yangtze University, Jingzhou 434023, PR China;2. Hubei Cooperative Innovation Center of Unconventional Oil and Gas, Wuhan 430100, PR China;3. College of Petroleum Engineering, Yangtze University, Wuhan, 430100, PR China;4. State Key Laboratory of Virology & Key Laboratory of Analytical Chemistry for Biology and Medicine (MOE), College of Chemistry and Molecular Sciences, Wuhan University, Wuhan 430072, PR China;5. College of Chemistry and Chemical Engineering, Wuhan University of Science and Technology, Wuhan 430081, PR China |
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| Abstract: | At arbitrary prices of commodities and assets, fix-price equilibria exist under weak assumptions: endowments need not satisfy an interiority condition, utility functions need only satisfy a very weak monotonicity requirement, and the asset return matrix allows for redundant assets. Prices of assets may permit arbitrage. At equilibrium, though restricted through endogenously determined trading constraints, arbitrage possibilities may persist; in an example, an individual holds an arbitrage portfolio. |
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