An example shows that when preferences change over time and consumers are sophisticated, it is possible that arbitrage opportunities exist in frictionless markets, even in equilibrium.

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doi.org/10.1007/s00199-006-0183-6, hdl.handle.net/1765/68307
Economic Theory
Erasmus Research Institute of Management

Rohde, K. (2008). Arbitrage opportunities in frictionless markets with sophisticated investors. Economic Theory, 34(2), 389–393. doi:10.1007/s00199-006-0183-6