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Anything is Possible: On the Existence and Uniqueness of Equilibria in the Shleifer-Vishny Model of Limits of Arbitrage

URN to cite this document: urn:nbn:de:bvb:355-opus-7327

Arnold, Lutz G. (2009) Anything is Possible: On the Existence and Uniqueness of Equilibria in the Shleifer-Vishny Model of Limits of Arbitrage. Review of Finance 13, pp. 521-553.

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Abstract

This paper gives a complete characterization of the equilibria in Shleifer and Vishny's (1997) model of "Limits of Arbitrage". We show that expected wealth (the arbitrageurs' objective function) is a possibly non-concave function of investment and that the relation between investment and prices is not necessarily continuous or single-valued or well-defined. As a result, "anything is possible": ...

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Item Type:Article
Date:2009
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Theoretische Volkswirtschaft (Prof. Dr. Lutz Arnold)
Research groups and research centres:Immobilien- und Kapitalmärkte
Identification Number:
ValueType
10.1093/rof/rfn016DOI
RePEc:bay:rdwiwi:15563RePEc Handle
Keywords:Anlageverhalten , Arbitrage, Behavioral Finance , Grenzen der Arbitrage , Existenz eines Gleichgewichts , Sonnenflecken, behavioral finance , limits of arbitrage , existence of an equilibrium , sunspots
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Owner: Universitätsbibliothek Regensburg
Deposited On:28 Jun 2010 08:49
Last Modified:07 Apr 2014 11:30
Item ID:15563

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