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
收藏
页码：25 / 29
页数：5
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