Similar Search Results

Existence of equilibria via quasi-equilibria.

Cornet, Bernard; Ranjan, Abhishek - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2013

We consider a 2-date model of a financial exchange economy with finitely many agents having non-ordered preferences and portfolio constraints. There is a market for physical commodities for every state today and tomorrow, and financial transfers across time and states are allowed by means of...

Persistent link: https://www.econbiz.de/10010617545

A price uncertainty principle and the existence of sequential equilibrium : (I) a numerical example.

Boisdeffre, Lionel de - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010

equilibrium is still characterized by the no-arbitrage condition. …

Persistent link: https://www.econbiz.de/10008622003

Elimination of arbitrage states in asymmetric information models.

Cornet, Bernard; Boisdeffre, Lionel De - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009

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 …

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

A price uncertainty principle and the existence of sequential equilibrium.

Boisdeffre, Lionel de - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009

so correct, we prove the existence of a sequential equilibrium is still characterized by the no-arbitrage condition. …

Persistent link: https://www.econbiz.de/10008622015

Price uncertainty and the existence of financial equilibrium.

Boisdeffre, Lionel de - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011

We consider a pure exchange economy, with incomplete financial markets, where agents face an "exogenous uncertainty", on the future state of nature and an "endogenous uncertainty", on the future price in each random state. Namely, every agents forms price anticipations on each spot market,...

Persistent link: https://www.econbiz.de/10009003410

Price revelation and existence of equilibrium in a private belief economy.

Boisdeffre, Lionel de - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014

the first period, which clear on all markets ex post. We introduce no-arbitrage prices and display their revealing …

Persistent link: https://www.econbiz.de/10010812339

On the existence of financial equilibrium when beliefs are private.

Boisdeffre, Lionel de - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012

We consider a pure exchange financial economy, where agents, possibly asymetrically informed, face an "exogenous uncertainty", on the future state of nature, and an "endogenous uncertainty", on the future price in each random state. Namely, every agent forms private price anticipations on every...

Persistent link: https://www.econbiz.de/10010584133

Arbitrage and price revelation with private beliefs.

Boisdeffre, Lionel de - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012

We extend the Cornet-de Boisdeffre (2002-2009) asymmetric information finite dimensional model to a more general setting, where agents may forecast prices with some private uncertainty. This new model drops both Radner's (1972-1979) classical, but restrictive, assumptions of rational...

Persistent link: https://www.econbiz.de/10010559904

Dropping rational expectations

Boisdeffre, Lionel De - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2015

[1975] and Radner [1979] equilibrium always existed in this model, as long as agents' anticipations precluded arbitrage. The … suggest it may be otherwise. We propose to show that agents, whose prior anticipation sets yield an arbitrage, may update … infer smaller arbitrage-free anticipation sets, which can not be narrowed down any further. Once these sets are attained …

Persistent link: https://www.econbiz.de/10011274576

Price revelation and existence of financial equilibrium with incomplete markets and private beliefs

Boisdeffre, Lionel De - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2015

's purpose is twofold. First, it defines no-arbitrage prices, which comprise all equilibrium prices, and displays their revealing …

Persistent link: https://www.econbiz.de/10011274577