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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. (2006) Anything is Possible: On the Existence and Uniqueness of Equilibria in the Shleifer-Vishny Model of Limits of Arbitrage. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 418, Working Paper.

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Other URL: http://www.opus-bayern.de/uni-regensburg/volltexte/2006/732


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:Monograph (Working Paper)
Date:2006
Institutions:Business, Economics and Information Systems
Identification Number:
ValueType
urn:nbn:de:bvb:355-opus-7327URN
RePEc:bay:rdwiwi:732RePEc Handle
Classification:
NotationType
G 12Journal of Economics Literature Classification
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:No this document will not be refereed
Created at the University of Regensburg:Yes
Owner: Universitätsbibliothek Regensburg
Deposited On:23 Sep 2008 09:24
Last Modified:13 Mar 2014 10:32
Item ID:4534

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