In an economy with asymmetric information, Rational Expectations Equilibria (REE) need not become asymptotically incentive compatible, even if many independent replicas of the economy are merged together. We identify a sub-class of REE for which this is nevertheless the case. It consists of...

We propose an extension of the standard general equilibrium model with production and incomplete markets to situations in which (i) private investors have limited information on the returns of specific assets, (ii) managers of firms have limited information on the preferences of individual...

In an economy with a non-atomic measure space of assets and exchangeable risks, the Arbitrage Pricing Theory (APT) holds exactly; and factors are structurally specified, which allows for an economic interpretation.

For the case of smooth concave exchange economies, we provide a characterization of the inner core as the set of feasible allocations such that no coalition can improve on it, even if coalitions are allowed to use some random plans. For the case of compactly generated games, we discuss Myerson's...

Individuals exchange contracts for the deliveryof commodities in competitive markets and, simultaneously, act strategically; actions affect utilities across individuals directlyor through the payoffs of contracts. This encompasses economies with asymmetric information. Nash-Walras equilibria...

We propose an objective for the firm in a general model of production economies extending over time under uncertainty and with incomplete markets. Trading in commodities and shares of stock occurssequentially on spot markets at all date-events. We derive the objective of the firm from the...

In a game with rational expectations individuals refine their information with the information revealed by the elementary acts of other individuals at each state of the world. At a Nash equilibrium profile of strategies information is essentially symemetric when the same profile is also an...

We study Myerson's incomplete information bargaining solution under the assumption of verifiable types. For the case of an informed principal, in which one individual has all the bargaining power, we provide exact characterizations both from the non cooperative and from the cooperative...