Arbitrage and price revelation with asymmetric information and incomplete markets

DOI10.1016/S0304-4068(02)00075-7MaRDI QIDQ1867778zbMATH OpenFDO

Authors Bernard Cornet, Lionel de Boisdeffre

Publication date 2 April 2003

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4068(02)00075-7

zbMATH Keywords

asymmetric informationincomplete marketsinformation revealed by pricesno-arbitrageprivate informationrefinement

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26) General equilibrium theory (91B50)

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Cites work

• Arbitrage and the Existence of Competitive Equilibrium
• Competitive equilibria with asymmetric information
• Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
• On the optimality of equilibrium when the market structure is incomplete
• Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices

Cited in

(12)

• Elimination of arbitrage states in asymmetric information models
• Multiperiod security markets with differential information
• On the interplay of hidden action and hidden information in simple bilateral trading problems
• Universal state prices and asymmetric information.
• Dropping rational expectations
• How does asymmetric information create market incompleteness?
• ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
• scientific article; zbMATH DE number 5219985 (Why is no real title available?)
• Arbitrage and equilibrium with portfolio constraints
• No-arbitrage equilibria with differential information: an existence proof
• Collateralized assets and asymmetric information
• Incomplete financial markets and differential information

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