Limits to arbitrage when market participation is restricted

DOI10.1016/j.jmateco.2006.04.001zbMath1141.91446OpenAlexW2172092705MaRDI QIDQ855320

P. Jean-Jacques Herings, Thorsten Hens, Arkadi Predtetchinski

Publication date: 7 December 2006

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: http://www.econ.uzh.ch/static/wp_iew/iewwp176.pdf

zbMATH Keywords

bounded rationalityarbitrage

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (4)

Price impact under heterogeneous beliefs and restricted participation ⋮ No free lunch for markets with multiple numéraires ⋮ Arbitrage and equilibrium with portfolio constraints ⋮ Endogenous restricted participation in general financial equilibrium

Cites Work

• On the allocation of effort
• A derivative-coderivative inclusion in second-order nonsmooth analysis
• Generic existence of competitive equilibria with restricted participation
• Real-Time Decentralized Information Processing as a Model of Organizations with Boundedly Rational Agents
• The Decentralization of Information Processing in the Presence of Interactions

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