We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.

Cerreia-Vioglio, Ghirardato, Maccheroni, Marinacci and Siniscalchi (Economic Theory, 48:341-375, 2011) have recently axiomatised preferences in the presence of ambiguity as Monotonic Bernoullian Archimedean (MBA) preferences. We investigate the problem of Arrovian aggregation of MBA preferences...

This paper builds on a recent proposal for microeconomic foundations for "representative agents". Herzberg [Journal of Mathematical Economics, vol. 46, no. 6, 1115-1124 (2010)] constructed a representative utility function for infinite-dimensional social decision problems and since the decision...

We refine the discretization of G-expectation by Y. Dolinsky, M. Nutz, and M. Soner (Stochastic Processes and their Applications, 122 (2012), 664-675), in order to obtain a discretization of sublinear expectation where the martingale laws are defined on a finite lattice rather than the whole set...

We prove a lifting theorem, in the sense of Robinsonian nonstandard analysis, for the G-expectation. Herein, we use an existing discretization theorem for the G-expectation by T. Fadina and F. Herzberg (Bielefeld University, Center for Mathematical Economics Working Papers, 503, (2014)).

For a continuous-time financial market with a single agent, we establish equilibrium pricing formulae under the assumption that the dividends follow an exponential Lévy process. The agent is allowed to consume a lump at the terminal date; before that, only flow consumption is allowed. The...