Arbitrage and price revelation with asymmetric information and incomplete markets
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Publication:1867778
DOI10.1016/S0304-4068(02)00075-7zbMath1024.91008MaRDI QIDQ1867778
Lionel de Boisdeffre, Bernard Cornet
Publication date: 2 April 2003
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
asymmetric information; incomplete markets; refinement; private information; no-arbitrage; information revealed by prices
91B24: Microeconomic theory (price theory and economic markets)
91B26: Auctions, bargaining, bidding and selling, and other market models
91B50: General equilibrium theory
Related Items
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, Elimination of arbitrage states in asymmetric information models
Cites Work
- On the optimality of equilibrium when the market structure is incomplete
- Competitive equilibria with asymmetric information
- Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
- Arbitrage and the Existence of Competitive Equilibrium
- Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices