Review of Financial Studies Vol. 1 No. 4 1988

Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans

Philip H. Dybvig¹; Chi-fu Huang²

¹ Washington University in St. Louis · ² Massachusetts Institute of Technology

Abstract

A restriction to nonnegative wealth is sufficient to preclude all arbitrage opportunities in financial models that have no arbitrage in limits of simple strategies. Imposing nonnegative wealth does not constrain agents from making the choice they would make under the standard integrability condition. These conclusions do not depend on whether markets are complete.

DOI

10.1093/rfs/1.4.377

Volume

1

Issue

4

Pages

377-401

Language

en

Sources

openalex crossref

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