General Equilibrium in Asset Markets With or Without Short-Selling*

In this paper we extend the results of Cheng w J. Math. Econom. 20 1991., 137]152xand Brown and WernerwRe¨. Economic Studies 62 1995., 101]114xon 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.