Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty
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Publication:1650941
DOI10.1007/S00780-018-0362-XzbMath1402.91284OpenAlexW3122753872MaRDI QIDQ1650941
Patrick Beissner, Frank Riedel
Publication date: 16 July 2018
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-018-0362-x
Martingales with continuous parameter (60G44) Diffusion processes (60J60) Financial applications of other theories (91G80) Dynamic stochastic general equilibrium theory (91B51)
Related Items (5)
Equilibrium prices and trade under ambiguous volatility ⋮ Quantifying ambiguity bounds via time-consistent sets of indistinguishable models ⋮ Equilibria Under Knightian Price Uncertainty ⋮ Characterizing optimal allocations in quantile-based risk sharing ⋮ Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives
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