Dynamic completeness is an eminently desirable property of financial security markets requiring that every contract or security be traded (possibly by replicating them). It ensures that market participants perfectly transfer risk and smooth their consumption intertemporally. We characterize...

In order to encompass general financial frictions, we generalize the fundamental theorem of asset pricing to convex price functionals.We identify a new arbitrage condition, called robust no-arbitrage, that characterizes viability and generalizes the well-known no-arbitrage condition used in...

This paper explores the relationship between dynamic consistency and existing notions of unambiguous events for Choquet expected utility preferences. A decision maker is faced with an information structure represented by a filtration. We show that the decision maker’s preferences respect...

Since the seminal paper of Ghirardato, it is known that Fubini Theorem for non-additive measures can be available only for functions defined as “slice-comonotonic”. We give different assumptions that provide such Fubini Theorems in the framework of product σ-algebras.

We adapt the model of comparisons of experts initiated by Lehrer («Comparison of experts JME 98») to a context of uncertainty which cannot be modelised by expected utility. We examine the robustness of Lehrer in this new context. Unlike expected utility, there exist several ways to define the...

We give some Fubini's theorems (interversion of the order of integration and product capacities) in the framework of the Choquet integral for product sigma-algebras. Following Ghirardato this is performed by considering slice-comonotonic functions. Our results can be easily interpreted for...