This paper deals with market models where there is no compatible positive state price density.

In this paper, we characterize subjective probability beliefs leading to a higher equilibrium market price of risk. We establish that Abel's result on the impact of doubt on the risk premium is not correct in general; see Abel [2002. An exploration of the effects of pessimism and doubt on asset...

We consider a model in which all investment opportunities are decribed in termes of cash flows. Our investment opportunities as assumed to be very general: they don't necessarily involve two dates and are not specifically related to a market model.

The problem of fair pricing of contingent claims is well understood in the context of an arbitrage free, complete financial market, with perfect information. But in the more realistic context of an incomplete market with imperfect information, the arbitrage approach does not enable us to aobtain...