Pricing rules and Arrow-Debreu ambiguous valuation (Q663197)

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Language	Label	Description	Also known as
English	Pricing rules and Arrow-Debreu ambiguous valuation	scientific article

Statements

scholarly article

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Pricing rules and Arrow-Debreu ambiguous valuation (English)

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Alain Chateauneuf

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José Heleno Faro

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Aloisio Pessoa de Araujo

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Economic Theory

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publication date

14 February 2012

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zbMATH Keywords

pricing rule

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frictionless incomplete market

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ambiguity

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state price

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capacity, Lehrer integral

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Choquet integral

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s00199-011-0660-4

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Markets that don't replicate any option.

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Minimum-cost portfolio insurance

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Existence of an Equilibrium for a Competitive Economy

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Coherent Measures of Risk

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On some families of cooperative fuzzy games

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Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization

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On the non-existence of redundant options

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DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS<sup>1</sup>

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Large cores and exactness

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No-arbitrage, state prices and trade in thin financial markets

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Insurance premia consistent with the market.

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CHOQUET INSURANCE PRICING: A CAVEAT

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Some characterizations of lower probabilities and other monotone capacities through the use of Möbius inversion

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On the use of capacities in modeling uncertainty aversion and risk aversion

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CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS

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Theory of capacities

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The valuation problem in arbitrage price theory

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Informational efficiency with ambiguous information

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Ambiguity aversion and trade

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Core and equilibria under ambiguity

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Stochastic finance. An introduction in discrete time

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Maxmin expected utility with non-unique prior

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Robust Statistics

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Price functionals with bid-ask spreads: An axiomatic approach

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Martingales and arbitage in securities markets with transaction costs

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Definitions of ambiguous events and the smooth ambiguity model

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A new integral for capacities

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Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles

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On Equilibrium in Graham's Model of World Trade and Other Competitive Systems

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Ambiguity Aversion and Incompleteness of Financial Markets

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Capacities and probabilistic beliefs: a precarious coexistence

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Liquidity and asset prices in rational expectations equilibrium with ambiguous information

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Finite-dimensional lattice-subspaces of 𝐶(Ω) and curves of ℝⁿ

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Minimal lattice-subspaces

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Maximal submarkets that replicate any option

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Options and Efficiency

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Cores of exact games. I

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Integral Representation Without Additivity

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S00199-011-0660-4

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Sitelinks

Mathematics(1 entry)

mardi Publication:663197

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