Elimination of arbitrage states in asymmetric information models.

In a financial economy with asymmetric information and incomplete markets, we study how agents, having no model of how equilibrium prices are determined, may still refine their information by eliminating sequentially "arbitrage state(s)", namely, the state (s) which would grant the agent an arbitrage, if realizable. This article provides a dual behavior of the one studied in Cornet and De Boisdeffre (2002).

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Year of publication:	2009-12
Authors:	Cornet, Bernard ; Boisdeffre, Lionel De
Institutions:	Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
Subject:	Arbitrage \| incomplete markets \| asymmetric information \| information revealed by prices

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Extent:	application/pdf
Series:	Documents de travail du Centre d'Economie de la Sorbonne. - ISSN 1955-611X.
Type of publication:	Book / Working Paper
Language:	English
Notes:	8 pages
Classification:	D52 - Incomplete Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008622013