Risky Arbitage, Asset Prices, and Externalities

dc.contributor.author	Le Van, Cuong
dc.contributor.author	Page, Frank H.
dc.contributor.author	Wooders, Myrna H.
dc.date.accessioned	2020-09-13T21:32:30Z
dc.date.available	2020-09-13T21:32:30Z
dc.date.issued	2005
dc.identifier.uri	http://hdl.handle.net/1803/15785
dc.description.abstract	We introduce a no-risky-arbitrage price (NRAP) condition for asset market models allowing both unbounded short sales and externalities such as trading volume. We then demonstrate that the NRAP condition is sufficient for the existence of competitive equilibrium in the presence of externalities. Moreover, we show that if all risky arbitrages are utility increasing, then the NRAP condition characterizes competitive equilibrium in the presence of externalities.
dc.language.iso	en_US
dc.publisher	Vanderbilt University	en
dc.subject	Risky arbitrage
dc.subject	competitive equilibria
dc.subject	viable asset prices
dc.subject	JEL Classification Number: C62
dc.subject	JEL Classification Number: D50
dc.subject.other
dc.title	Risky Arbitage, Asset Prices, and Externalities
dc.type	Working Paper	en
dc.description.department	Economics