General equilibrium in asset markets with or without short-selling

In this paper we extend the results of Cheng [J. Math. Econom. 20 (1991), 137-152] and Brown and Werner [Rev. Economic Studies 62 (1995), 101-114] on the existence of equilibrium in infinite dimensional asset markets. We do not assume that each agent's preferred sets have a uniform direction of improvement, but assume that the preferred sets of attainable allocations have nonempty interiors. We then deduce existence theorems for asset markets without short-selling and for the capital asset pricing model. (C) 1997 Academic Press.