Go to content
UR Home

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

URN to cite this document:
DOI to cite this document:
Arnold, Lutz G.

This is the latest version of this item.

Date of publication of this fulltext: 27 Oct 2006 08:49


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": ...


Owner only: item control page
  1. Homepage UR

University Library

Publication Server


Publishing: oa@ur.de
0941 943 -4239 or -69394

Dissertations: dissertationen@ur.de
0941 943 -3904

Research data: datahub@ur.de
0941 943 -5707

Contact persons