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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
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Elimination of Arbitrage States in Asymmetric Information Models
Cornet, Bernard; Boisdeffre, Lionel D - Department of Economics, University of Kansas - 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. …
Persistent link: https://www.econbiz.de/10008472279
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Elimination of arbitrage states in asymmetric information models
Cornet, Bernard; Boisdeffre, Lionel - In: Economic Theory 38 (2009) 2, pp. 287-293
Persistent link: https://www.econbiz.de/10005597812
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ELIMINATION OF ARBITRAGE STATES IN ASYMMETRIC INFORMATION MODELS
Cornet, Bernard; Boisdeffre, Lionel De - Department of Economics, University of Kansas - 2005
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. …
Persistent link: https://www.econbiz.de/10005115546
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Dropping the Cass trick and extending Cass' theorem to asymmetric information and restricted participation
Boisdeffre, Lionel de - 2021
Persistent link: https://www.econbiz.de/10012667156
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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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The perfect foresights' assumption revisited : (I) the existence of equilibrium with multiple price expectations
Boisdeffre, Lionel De - HAL - 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/10010750733
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A price uncertainty principle and the existence of sequential equilibrium : (I) A numerical example
Boisdeffre, Lionel De - HAL - 2010
equilibrium is still characterized by the no-arbitrage condition. …
Persistent link: https://www.econbiz.de/10010549105