Portfolio dominance and optimality in infinite security markets

被引：19

作者：

Aliprantis, CD

Brown, DJ

Polyrakis, IA

Werner, J

机构：

[1] Indiana Univ Purdue Univ, Dept Math & Econ, Indianapolis, IN USA

[2] Cornell Univ, Dept Econ, Ithaca, NY 14853 USA

[3] CALTECH, Div Humanities & Social Sci, Pasadena, CA 91125 USA

[4] Yale Univ, Dept Econ, New Haven, CT 06520 USA

[5] Natl Tech Univ Athens, Dept Math, GR-15773 Athens, Greece

[6] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA

[7] Cornell Univ, Ctr Analyt Econ, Ithaca, NY USA

来源：

JOURNAL OF MATHEMATICAL ECONOMICS | 1998年 / 30卷 / 03期

关键词：

security markets; portfolio dominance; equilibrium; Yudin basis;

D O I：

10.1016/S0304-4068(97)00038-4

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The most natural way of ordering portfolios is by comparing their payoffs. A portfolio with payoff higher than the payoff of another portfolio is greater in the sense of portfolio dominance than that other portfolio. Portfolio dominance is a lattice order if the supremum and the infimum of any two portfolios are well-defined. We study security markets with infinitely many securities and arbitrary finite portfolio holdings. If portfolio dominance order is a lattice order and has a Yudin basis, then optimal portfolio allocations and equilibria in security markets do exist. (C) 1998 Elsevier Science S.A. All rights reserved.

引用

页码：347 / 366

页数：20

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