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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
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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
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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
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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
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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
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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
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Competitive equilibrium with asymmetric information : the arbitrage characterization.
Boisdeffre, Lionel de - Maison des Sciences Économiques, Université Paris 1 … - 2005
] introduced refined concepts of " no-arbitrage " prices and equilibria, which extended to the asymmetric information setting the … numeraire assets, and showed that a no-arbitrage condition characterized the existence of equilibrium, in both asset structures … information models with real assets. Namely, we show that the existence of a pseudo-equilibrium is still guaranteed by a no-arbitrage …
Persistent link: https://www.econbiz.de/10005797823
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No-arbitrage equilibria with differential information : a proof of existence.
Boisdeffre, Lionel de - Maison des Sciences Économiques, Université Paris 1 … - 2004
information of the adverse selection's type, Cornet-De Boisdeffre (2002) introduced refined concepts of price, arbitrage and a so …-called «no-arbitrage equilibrium», which extended to the asymmetric setting the classical concepts of the symmetric information … literature. We now show a no-arbitrage equilibrium exists, for any given no-arbitrage asset price, under the same standard …
Persistent link: https://www.econbiz.de/10005220169
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Competitive equilibrium with asymmetric information : an existence theorem for numeraire assets.
Boisdeffre, Lionel de - Maison des Sciences Économiques, Université Paris 1 … - 2005
) introduced refined concepts of " no-arbitrage " prices and equilibria, which extended to the asymmetric information. We now … financial markets preclude arbitrage, under similar standard conditions, whether agents have symmetric or asymmetric information …
Persistent link: https://www.econbiz.de/10005220197
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The perfect foresights' assumption revisited : (I) the existence of equilibrium with multiple price expectations.
Boisdeffre, Lionel de - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007
existence of such equilibrium is still characterized by the no-arbitrage condition of finance. This result, which extends our …
Persistent link: https://www.econbiz.de/10005670877