Afriat and arbitrage

Author:

Beggs AlanORCID

Abstract

AbstractThis paper presents a proof of Afriat’s (Int Econ Rev 8:67–77) theorem on revealed preference by using the idea that a rational consumer should not be vulnerable to arbitrage. The main mathematical tool is the separating hyperplane theorem.

Publisher

Springer Science and Business Media LLC

Reference24 articles.

1. Afriat, S.: The construction of utility functions from expenditure data. Int. Econ. Rev. 8, 67–77 (1967)

2. Brown, D., Calsamiglia, C.: The nonparametric approach to welfare analysis. Econ. Theory 31, 183–188 (2007)

3. Cournot, A.: Researches into the Mathematical Principles of the Theory of Wealth by Augustin Cournot 1838. The MacMillan Company, New York, translated by Nathaniel T. Bacon (1927)

4. Diewert, E.: Afriat and revealed preference. Rev. Econ. Stud. 40, 419–425 (1973)

5. Duffie, D.: Dynamic Asset Pricing Theory, 3rd edn. Princeton University Press, Princeton and Oxford (2010)

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