Market arbitrage versus agent arbitrage

被引：0

作者：

Modesti, P ^{[1
]}

机构：

[1] Univ Parma, Fac Econ, I-43100 Parma, Italy

来源：

OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE | 2004年 / 32卷 / 01期

关键词：

arbitrage; decision theory; financial markets; preorders;

D O I：

10.1016/j.omega.2003.09.006

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

The present paper provides conditions for the consistency among different orderings which may be defined on sets of financial portfolios; in particular, a different reading key for some classical results is proposed. Besides arbitrage (whose impossibility is necessary and sufficient for consistency between the orderings based on prices and payoffs, respectively), a different notion, the agent arbitrage, is introduced. It turns out to be useful to enlighten links among orderings: in particular, no agent arbitrage embodies the equivalence between the preorder induced by prices and the one induced by agent's utility. (C) 2003 Elsevier Ltd. All rights reserved.

引用

页码：25 / 29

页数：5

共 7 条

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