Title

Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans

Document Type

Discussion Paper

Publication Date

2-1-1988

CFDP Number

860

CFDP Pages

20

Abstract

A restriction to nonnegative wealth is sufficient to preclude all arbitrage opportunities in financial models that have risk neutral probabilities that are valid for all simple strategies. Imposing nonnegative wealth does not constrain agents from making the choice they would make under the standard integrability condition. This conclusion does not depend on whether the markets are complete.

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