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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.
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Date of publication of this fulltext: 27 Oct 2006 13:47


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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