General Equilibrium in Asset Markets With or Without Short-Selling

AbstractIn this paper we extend the results of Cheng [J. Math. Econom.20(1991), 137–152] and Brown and Werner [Rev. Economic Studies62(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