PORTFOLIO DOMINANCE AND OPTIMALITY IN INFINITE SECURITY MARKETS

The most natural way of ordering portfolios is by comparing their payo ffs. A portfolio with payoff higher than the payoff of another portfol io is greater in the sense of portfolio dominance than that other port folio. Portfolio dominance is a lattice order if the supremum and the infimum of any two portfolios are well-defined. We study security mark ets with infinitely many securities and arbitrary finite portfolio hol dings. 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.