We consider observable restrictions on asset prices in an exchange economy with general preferences and endowments and an asset structure that may be incomplete. - Asset prices satisfy the martingale property with respect to a class of probability measures; however, generically, not with respect...

A competitive equilibrium may preserve, even magnify, firm-specific risks in the aggregate. This is the case if firms can anticipate their productivites when they make investment decisions or, alternatively, if capital can be reallocated once the productivites of firms are realized. In a large...

A test is said to detect an alternative hypothesis if it is unbiased against it, at all levels and all sample sizes. It is a robust test if this property is true for a large class of null distributions. This approach allows for method of comparison of tests which can be carried out for finite...