No-arbitrage , Overlapping sets of priors and the existence of efficient allocations and equilibria in the presence of risk and ambiguity

@inproceedings{Dana2009NoarbitrageO,
  title={No-arbitrage , Overlapping sets of priors and the existence of efficient allocations and equilibria in the presence of risk and ambiguity},
  author={R.-A. Dana and Cuong Le Van},
  year={2009}
}
The theory of existence of equilibrium with short-selling is reconsidered under risk and ambiguity modelled by risk averse variational preferences. A sufficient condition for existence of efficient allocations is that the relative interiors of the risk adjusted sets of expectations overlap. This condition is necessary if agents are not risk neutral at extreme levels of wealths either positive or negative. It is equivalent to the condition that there does not exist mutually compatible trades… CONTINUE READING

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