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16 results on '"Thai Ha-Huy"'

1. Ascendant altruism and asset price bubbles

Author

Stefano Bosi, Thai Ha‐Huy, Cao‐Tung Pham, and Ngoc‐Sang Pham

Subjects
Economics and Econometrics, 0502 economics and business, 05 social sciences, 8. Economic growth, 050207 economics, 050205 econometrics
Published
2021
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2. Wheels and cycles: Suboptimality and volatility of corrupted economies

Author

Thai Ha-Huy, Stefano Bosi, David Desmarchelier, Centre d'Etudes des Politiques Economiques (EPEE), Université d'Évry-Val-d'Essonne (UEVE)-Université Paris-Saclay, Bureau d'Économie Théorique et Appliquée (BETA), AgroParisTech-Université de Strasbourg (UNISTRA)-Université de Haute-Alsace (UHA) Mulhouse - Colmar (Université de Haute-Alsace (UHA))-Université de Lorraine (UL)-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), TIMAS, Thang Long University, and ANR-11-LABX-0023,MME-DII,Modèles Mathématiques et Economiques de la Dynamique, de l'Incertitude et des Interactions(2011)

Subjects
Corruption, Economics and Econometrics, media_common.quotation_subject, Optimal cycles, Ramsey model, Economics, Monetary economics, Volatility (finance), [SHS.ECO]Humanities and Social Sciences/Economics and Finance, media_common
Abstract

International audience; We consider a simple economy where production depends on labor supply and social capital. Networking increases the social capital (“greases the wheel”) but also the corruption level (“sands the wheel”). Corruption is a negative productive externality. We compare the market economy, where the negative externality is not taken into account by individuals, with a centralized economy, where the planner internalizes the negative effect. We highlight the possible existence of cycles in the market economy and optimal cycles in the planned economy. We compare the centralized and the decentralized solutions in the short and long run.

Published
2021
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3. Economic dynamics with renewable resources and pollution

Author

Thai Ha-Huy, Cuong Le Van, Thi Tuyet Mai Nguyen, My Dam, Centre d'Etudes des Politiques Economiques (EPEE), Université d'Évry-Val-d'Essonne (UEVE)-Université Paris-Saclay, Institute of Mathematics and Applied Science (TIMAS), IPAG Business School, Centre d'économie de la Sorbonne (CES), Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS), Paris School of Economics (PSE), Université Paris 1 Panthéon-Sorbonne (UP1)-École normale supérieure - Paris (ENS-PSL), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-École des hautes études en sciences sociales (EHESS)-École des Ponts ParisTech (ENPC)-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), Thuongmai University, Partenaires INRAE, Université Paris 1 Panthéon-Sorbonne (UP1), Dam and Ha-Huy thank the LABEX MME-DII, France (ANR-11-LBX-0023-01) forsupport during the writing of this article. This article is finished during theperiod Ha-Huy worked asdéléguéin the Theoretical Economics Team UMR8545 at CNRS, Paris School of Economics (campus Jourdan)., ANR-11-LABX-0023,MME-DII,Modèles Mathématiques et Economiques de la Dynamique, de l'Incertitude et des Interactions(2011), École des Ponts ParisTech (ENPC)-École normale supérieure - Paris (ENS Paris), and Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS)-École des hautes études en sciences sociales (EHESS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE)

Subjects
Pollution, Renewable resources, Sociology and Political Science, Natural resource economics, media_common.quotation_subject, 7. Clean energy, Convexity, 0502 economics and business, Economics, Two-sector economy, General Psychology, Stock (geology), 050205 econometrics, media_common, 05 social sciences, Ramsey model, General Social Sciences, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, Natural resource, Economic dynamics, Pollution externality, Secondary sector of the economy, 8. Economic growth, JEL: Q - Agricultural and Natural Resource Economics • Environmental and Ecological Economics/Q.Q5 - Environmental Economics/Q.Q5.Q51 - Valuation of Environmental Effects, 050206 economic theory, Statistics, Probability and Uncertainty, Externality, Renewable resource
Abstract

International audience; This article considers a two-sector economy with externalities. In particular, the analysis involves an industrial sector whose polluting production activities have negative effects on the regeneration of a natural resource in the other sector. Without convexity or supermodularity, we prove that the economy evolves to increase the net gain of stock (a similar notion to the net gain of investment in Kamihigashi and Roy (2007)), and establish the conditions ensuring the convergence of the economy in the long run.

Published
2020
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4. On maximin dynamic programming and the rate of discount

Author

Jean-Pierre Drugeon, Thai Ha-Huy, Thi Do Hanh Nguyen, Paris School of Economics (PSE), École des Ponts ParisTech (ENPC)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS)-École des hautes études en sciences sociales (EHESS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), Centre d'Etudes des Politiques Economiques (EPEE), Université d'Évry-Val-d'Essonne (UEVE), Institute of Mathematics and Applied Science (TIMAS), Vietnam Maritime University [Hai Phon] (VMU), Université Paris 1 Panthéon-Sorbonne (UP1)-École normale supérieure - Paris (ENS-PSL), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-École des hautes études en sciences sociales (EHESS)-École des Ponts ParisTech (ENPC)-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), and Paris Jourdan Sciences Economiques (PJSE)

Subjects
Economics and Econometrics, Mathematical optimization, Sequence, Computer Science::Computer Science and Game Theory, Optimization problem, Computer science, 05 social sciences, JEL: D - Microeconomics/D.D9 - Intertemporal Choice/D.D9.D90 - General, Policy function, Minimax, Non-convexities, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, Set (abstract data type), Dynamic programming, JEL: C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C61 - Optimization Techniques • Programming Models • Dynamic Analysis, Bellman equation, Maximin principle, 0502 economics and business, Functional equation, Value function, 050206 economic theory, Minification, 050205 econometrics, Supermodularity
Abstract

International audience; This article establishes a dynamic programming argument for a maximin optimization problem where the agent completes a minimization over a set of discount rates. Even though the consideration of a maximin criterion results in a program that is not convex and not stationary over time, it is proved that a careful reference to extended dynamic programming principles and a maxmin functional equation however allows for circumventing these difficulties and recovering an optimal sequence that is time consistent.

Published
2019
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5. Rational bubbles in altruistic economies: when Tirole meets Ramsey

Author

Bosi, S., Thai Ha-Huy, Pham, N. -S, Centre d'Etudes des Politiques Economiques (EPEE), Université d'Évry-Val-d'Essonne (UEVE), Montpellier Business School, and HAL, Univ Évry

Subjects
[SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance
Abstract

International audience; We consider an overlapping generations model a la Tirole (1985) augmented with altruism from parents to children as in Barro (1974). We compute the global dynamics and we show that, in the case of low altruism, bequests are zero and our model works exactly as the Tirole's model (1985) where rational bubbles can arise, while, in the case of high altruism, bequests are positive and bubbles are ruled out. This result holds whatever the share of altruistic agents in total population. Our contribution raises the question of the robustness of Tirole's conclusion about the existence of rational bubbles under a large degree of altruism.

Published
2019

6. Heterogeneous human capital, inequality and growth: The role of patience and skills

Author

Thai Ha-Huy, Stefano Bosi, Leonor Modesto, Kirill Borissov, St. Petersburg Institute for Economics and Mathematics Russian Academy of Sciences, St. Petersburg Institute for Economics and Mathematics, Russian Academy of Sciences [Moscow] (RAS)-Russian Academy of Sciences [Moscow] (RAS), Université Paris-Saclay, Centre d'Etudes des Politiques Economiques (EPEE), Université d'Évry-Val-d'Essonne (UEVE)-Université Paris-Saclay, UCP, Catolica Lisbon School of Business and Economics, and Forschungsinstitut zur Zukunft der Arbeit - Institute of Labor Economics (IZA)

Subjects
Economics and Econometrics, Labour economics, business.industry, 05 social sciences, Distribution (economics), Representative agent, Redistribution (cultural anthropology), Human capital, Sep inequality and growth, heterogenous patience and skills, [SHS]Humanities and Social Sciences, Physical capital, Capital accumulation, Sep heterogenous patience and skill, inequality and growth, 0502 economics and business, Meritocracy, Economics, 050206 economic theory, human capital heterogenous patience and skills inequality and growth. JEL codes: J24 O15 O40, human capital, 050207 economics, business, Constraint (mathematics)
Abstract

We extend the Lucas' 1988 model introducing two classes of agents with heterogeneous skills, discount factors and initial human capital endowments. We consider two regimes according to the planner's political constraints. In the first regime, that we call meritocracy, the planner faces individual constraints. In the second regime the planner faces an aggregate constraint, redistributing. We find that heterogeneity matters, particularly with redistribution. In the meritocracy regime, the optimal solution coincides with the BGP found by Lucas (1988) for the representative agent's case. In contrast, in the redistribution case, the solution for time devoted to capital accumulation is never interior for both agents. Either the less talented agents do not accumulate human capital or the more skilled agents do not work. Moreover, social welfare under the redistribution regime is always higher than under meritocracy and it is optimal to exploit existing differences. Finally, we find that inequality in human capital distribution increases in time and that, in the long run, inequality always promotes growth.

Published
2018

7. A Not so Myopic Axiomatization of Discounting

Author

Thai Ha Huy, Jean-Pierre Drugeon, Paris School of Economics (PSE), École des Ponts ParisTech (ENPC)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS)-École des hautes études en sciences sociales (EHESS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), Paris Jourdan Sciences Economiques (PJSE), Université Paris 1 Panthéon-Sorbonne (UP1)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-École des hautes études en sciences sociales (EHESS)-École des Ponts ParisTech (ENPC)-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), Centre d'Etudes des Politiques Economiques (EPEE), Université d'Évry-Val-d'Essonne (UEVE), Université d'Évry-Val-d'Essonne (UEVE)-Université Paris-Saclay, Université Paris 1 Panthéon-Sorbonne (UP1)-École normale supérieure - Paris (ENS-PSL), and Université Panthéon-Sorbonne (UP1)-École normale supérieure - Paris (ENS Paris)-Institut National de la Recherche Agronomique (INRA)-École des hautes études en sciences sociales (EHESS)-École des Ponts ParisTech (ENPC)-Centre National de la Recherche Scientifique (CNRS)

Subjects
Economics and Econometrics, Discounting, Computer science, Temporal Order Decompositions, 05 social sciences, 050301 education, Axiomatic system, JEL: D - Microeconomics/D.D9 - Intertemporal Choice/D.D9.D90 - General, Distant future sensitivities, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, Focus (linguistics), Separable space, Axiomatization, 0502 economics and business, Myopia, Infinite Dimensional Topologies, Discount, 0503 education, Mathematical economics, JEL: D - Microeconomics/D.D1 - Household Behavior and Family Economics/D.D1.D11 - Consumer Economics: Theory, Axiom, 050205 econometrics
Abstract

This article builds an axiomatization of inter-temporal trade-offs that makes an explicit account of the distant future and therefore encompasses motives related to sustainability, transmission to offsprings and altruism. The focus is on separable representations and the approach is completed following a decision-theory index based approach that is applied to utility streams. This enlightens the limits of the commonly used tail intensity requesites for the evaluation of utility streams: in this article, these are supersed and replaced by an axiomatic approach to optimal myopia degrees that in its turn precedes the determination of optimal discount. The overall approach is anchored in the new and explicit proof of a temporal decomposition of the preference orders between the distant future and the close future itself directly related to the determination of the optimal myopia degrees. The argument is shown to provide a novel understanding of temporal biases with the scope for a distant future bias when the finite dimensional gets influenced by the infinite dimensional.The reference to robust orders and pessimism-like axioms finally allows for determining tractable representations for the indexes.

Published
2018
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8. Financial bubbles and capital accumulation in altruistic economies

Author

Thai Ha-Huy, Cao-Tung Pham, Stefano Bosi, Ngoc-Sang Pham, Cuong Le Van, Centre d'Etudes des Politiques Economiques (EPEE), Université d'Évry-Val-d'Essonne (UEVE), Centre d'économie de la Sorbonne (CES), Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS), Paris School of Economics (PSE), École des Ponts ParisTech (ENPC)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS)-École des hautes études en sciences sociales (EHESS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), IPAG Business School, Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School, The authors are very grateful to anonymous referees for useful remarks, comments, and suggestions. The authors acknowledge the financial support of the LabEx MME-DII (no. ANR11-LBX-0023-01) and the Institut Europlace de Finance Louis Bachelier. Cuong Le Van is partially funded by Vietnam National Foundation for Science and Technology Development (NAFOSTED) under Grant Number 502.01-2017.12. Ngoc-Sang Pham is member of the Entrepreneurship and Innovation Chair, which is part of LabEx Entrepreneurship (University of Montpellier, France) and funded by the French government (Labex Entreprendre, ANR-10-Labex-11-01)., ANR-11-LABX-0023,MME-DII,Modèles Mathématiques et Economiques de la Dynamique, de l'Incertitude et des Interactions(2011), ANR-10-LABX-0011,Entreprendre,Entrepreneurship(2010), Université Paris 1 Panthéon-Sorbonne (UP1)-École normale supérieure - Paris (ENS-PSL), and Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-École des hautes études en sciences sociales (EHESS)-École des Ponts ParisTech (ENPC)-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE)

Subjects
Economics and Econometrics, Financial asset, Applied Mathematics, media_common.quotation_subject, 05 social sciences, Monetary economics, Overlapping generations model, Overlapping generations, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, Altruism, Rational bubbles, Capital accumulation, Forward altruism, Capital (economics), 0502 economics and business, Economics, Dividend, Asset (economics), 050207 economics, Economic bubble, 050205 econometrics, media_common, Positive dividends
Abstract

International audience; We consider an overlapping generations model a la Diamond (1965) with two additional ingredients: altruism and an asset (or land) bringing non-stationary positive dividends (or fruits). We study the global dynamics of capital stocks and asset values as well as the interplay between them. Asset price bubbles are also investigated. (C) 2018 Elsevier B.V. All rights reserved.

Published
2018
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10. Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities

Author

Cuong Le Van, Thai Ha-Huy, Manh-Hung Nguyen, Centre d'Etudes des Politiques Economiques (EPEE), Université d'Évry-Val-d'Essonne (UEVE), IPAG Business School, Centre d'économie de la Sorbonne (CES), Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS), Paris School of Economics (PSE), École des Ponts ParisTech (ENPC)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS)-École des hautes études en sciences sociales (EHESS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), Toulouse School of Economics (TSE), École des hautes études en sciences sociales (EHESS)-Institut National de la Recherche Agronomique (INRA)-Centre National de la Recherche Scientifique (CNRS)-Université Toulouse 1 Capitole (UT1), Université Fédérale Toulouse Midi-Pyrénées-Université Fédérale Toulouse Midi-Pyrénées, Van Xuan Center of Research in Economics, Management and Environment (VCREME), Institut National de la Recherche Agronomique (INRA), Ce travail a bénéficié d'une aide de l'Etat gérée par l'Agence Nationale de la Recherche au titre du programme « Investissements d'avenir » portant la référence ANR-10-LABX-93-01.This work was supported by the French National Research Agency, through the program Investissements d'Avenir, ANR-10--LABX_93-01., Université Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS), Université Toulouse 1 Capitole (UT1), Université Fédérale Toulouse Midi-Pyrénées-Université Fédérale Toulouse Midi-Pyrénées-Institut National de la Recherche Agronomique (INRA)-École des hautes études en sciences sociales (EHESS)-Centre National de la Recherche Scientifique (CNRS), Université Paris 1 Panthéon-Sorbonne (UP1)-École normale supérieure - Paris (ENS-PSL), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-École des hautes études en sciences sociales (EHESS)-École des Ponts ParisTech (ENPC)-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), Toulouse School of Economics (TSE-R), Université Toulouse Capitole (UT Capitole), and Université de Toulouse (UT)-Université de Toulouse (UT)-Institut National de la Recherche Agronomique (INRA)-École des hautes études en sciences sociales (EHESS)-Centre National de la Recherche Scientifique (CNRS)

Subjects
Infinite number, Sociology and Political Science, 05 social sciences, General Social Sciences, Asset market, Fundamental theorem of asset pricing, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, Compact space, 0502 economics and business, Arbitrage pricing theory, Economics, beliefs, 050206 economic theory, Asset (economics), Arbitrage, Statistics, Probability and Uncertainty, Mathematical economics, General Psychology, 050205 econometrics
Abstract

International audience; We consider a model with an infinite number of states of nature, von Neumann–Morgenstern utilities, where agents have different probability beliefs and where short sells are allowed. We show that no-arbitrage conditions, defined for finite dimensional asset markets models, are not sufficient to ensure existence of equilibrium in presence of an infinite number of states of nature. However, if the individually rational utility set U is compact, we obtain an equilibrium. We give conditions which imply the compactness of U. We give examples of non-existence of equilibrium when these conditions do not hold.

Published
2016
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11. A never-decisive and anonymous criterion for optimal growth models

Author

Alain Ayong Le Kama, Katheline Schubert, Cuong Le Van, Thai Ha-Huy, EconomiX, Université Paris Nanterre (UPN)-Centre National de la Recherche Scientifique (CNRS), Centre d'Etudes des Politiques Economiques (EPEE), Université d'Évry-Val-d'Essonne (UEVE), Centre d'économie de la Sorbonne (CES), Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS), and Ce travail a bénéficié d'une aide de l'Etat gérée par l'Agence Nationale de la Recherche au titre du programme « Investissements d'avenir » portant la référence ANR-10-LABX-93-01.This work was supported by the French National Research Agency, through the program Investissements d'Avenir, ANR-10—LABX-93-01.

Subjects
Social welfare function, Economics and Econometrics, jel:D60, Intergenerational equity, Never-decisiveness of the present, JEL: D - Microeconomics/D.D7 - Analysis of Collective Decision-Making/D.D7.D70 - General, Ball (mathematics), Axiom, JEL: D - Microeconomics/D.D6 - Welfare Economics/D.D6.D60 - General, Mathematics, jel:D70, jel:D90, Anonymity, intergenerational equity, natural resources, never-decisiveness of the future, never-decisiveness of the present, no-dictatorship, jel:Q0, JEL: D - Microeconomics/D.D9 - Intertemporal Choice/D.D9.D90 - General, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, JEL: Q - Agricultural and Natural Resource Economics • Environmental and Ecological Economics/Q.Q0 - General, No-dictatorship of the present, Sustainability, restrict, Natural resources, Anonymity, Mathematical economics, No-dictatorship of the future, Public finance, Never-decisiveness of the future, Optimal growth models
Abstract

International audience; We address in this paper the question of the existence of a Social Welfare Function that would be sustainable and would allow us to obtain solutions to optimal growth models. We define sustainability by two new axioms called Never-decisiveness of the present and Never-decisiveness of the future. We first show that a SWF which has Never-decisiveness properties cannot be defined on a ball of l+∞. We must (i) restrict to the set of utility streams for which the value of the SWF is finite and (ii) introduce additional assumptions in order to obtain the Never-decisiveness properties. Our main result in this paper is therefore to show that the undiscounted utilitarian criterion is an anonymous and never-decisive criterion for optimal growth models. We consider the set of utilities of consumptions which are generated by a specific technology, namely a technology with decreasing returns for high levels of capital, and restrict ourselves to good programs, i.e., any program for which intertemporal utility is well defined.

Published
2014
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14. No unbounded arbitrage, weak no market arbitrage and no arbitrage price system conditions; Equivalent conditions

Author

Manh-Hung Nguyen, Thai Ha-Huy, Institut de Recherche en Sciences et Techniques de la Ville - FR 2488 (IRSTV), Université d'Angers (UA)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-École nationale supérieure d'architecture de Nantes (ENSA Nantes)-La Rochelle Université (ULR)-Centre National de la Recherche Scientifique (CNRS), Economie des Ressources Naturelles (LERNA), Université Toulouse Capitole (UT Capitole), Université de Toulouse (UT)-Université de Toulouse (UT)-Institut National de la Recherche Agronomique (INRA)-Commissariat à l'énergie atomique et aux énergies alternatives (CEA), Université de La Rochelle (ULR)-École Centrale de Nantes (ECN)-Centre National de la Recherche Scientifique (CNRS)-Université de Nantes (UN)-École nationale supérieure d'architecture de Nantes (ENSA Nantes)-Université d'Angers (UA), Université Toulouse 1 Capitole (UT1), Université Fédérale Toulouse Midi-Pyrénées-Université Fédérale Toulouse Midi-Pyrénées-Institut National de la Recherche Agronomique (INRA)-Commissariat à l'énergie atomique et aux énergies alternatives (CEA), and Université de Nantes (UN)-École Centrale de Nantes (ECN)-EC. ARCHIT. NANTES-Université d'Angers (UA)-Université de La Rochelle (ULR)-Centre National de la Recherche Scientifique (CNRS)

Subjects
Economics and Econometrics, Applied Mathematics, 05 social sciences, ARBITRAGE, Fundamental theorem of asset pricing, Price system, Competitive equilibrium, [SHS]Humanities and Social Sciences, Compact space, EQUILIBRIUM, Recession cone, 0502 economics and business, 8. Economic growth, Arbitrage pricing theory, Economics, RECESSION CONE, Arbitrage, 050207 economics, Special case, Mathematical economics, B- ECONOMIE ET FINANCE, 050205 econometrics
Abstract

International audience; Page and Wooders [Page Jr., F.H., Wooders, M., 1996. A necessary and sufficient condition for compactness of individually rational and easible outcomes and existence of an equilibrium. Economics Letters 52, 153–162] prove that the no unbounded arbitrage (NUBA), a special case of a condition in Page [Page, F.H., 1987. On equilibrium in Hart’s securities exchange model. Journal of Economic Theory 41, 392–404], is equivalent to the existence of a no arbitrage price system (NAPS) when no agent has non-null useless vectors. Allouch et al. [Allouch, N., Le Van, C., Page F.H., 2002. The geometry of arbitrage and the existence of competitive equilibrium. Journal of Mathematical Economics 38, 373–391] extend theNAPS introduced byWerner [Werner, J., 1987. Arbitrage and the existence of competitive equilibrium. Econometrica 55, 1403–1418] and show that this condition is equivalent to the weak no market arbitrage (WNMA) of Hart [Hart, O., 1974. On the existence of an equilibrium in a securities model. Journal of Economic Theory 9, 293–311]. They mention that this result implies the one given by Page and Wooders [Page Jr., F.H., Wooders, M., 1996. A necessary and sufficient condition for compactness of individually rational and feasible outcomes and existence of an equilibrium. Economics Letters 52, 153–162]. In this note, we show that all these conditions are equivalent.

Published
2010
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15. No arbitrage condition and existence of equilibrium in infinite or finite dimension with expected risk averse utilities

Author

Thai Ha Huy, Cuong Le Van, and Manh Hung NGUYEN

Subjects
jel:D81, jel:D84, jel:G1, jel:C62, jel:D50, No-arbitrage Conditions, the two-period wealth model, No Unbouded Arbitrage, Weak No Market Arbitrage
Abstract

We consider a general equilibrium model in asset markets with a countable set of states and expected risk averse utilities. The agents do not have the same beliefs. We use the methods in Le Van - Truong Xuan (JME, 2001) but one of their assumption which is crucial for obtaining their result cannot be accepted in our model when the number of states is countable. We give a proof of existence of equilibrium when the number of states is inï¬ nite or ï¬ nite.

Published
2008

16. No unbounded arbitrage, weak no market arbitrage and no arbitrage price system conditions: The circular results

Author

Manh-Hung Nguyen and Thai Ha-Huy

Subjects
jel:C62, jel:D50, Arbitrage, Competitive equilibrium, Arbitrage, Equilibrium, Recession cone
Abstract

Page and Wooders (1996) prove that the no-unbounded-arbitrage (NUBA) condition introduced by Page (1987) is equivalent to the existence of a no arbitrage price (NAPS) when no agent has non-null useless vectors. Al- louch, Le Van and Page (2002) show that their generalized NAPS condition is actually equivalent to the weak-no-market-arbitrage (WNMA) condition introduced by Hart (1974). They mention that this result implies the one given by Page andWooders (1996). In this note, we show that these results are actually circular.

Published
2008

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