No-arbitrage equilibria with differential information: an existence proof

DOI10.1007/S00199-006-0093-7MaRDI QIDQ873901zbMATH OpenOpenAlexFDO

Authors Lionel de Boisdeffre

Publication date 20 March 2007

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00199-006-0093-7

zbMATH Keywords

Asymmetric informationGeneral equilibriumArbitrageExistence of equilibriumInference

Mathematics Subject Classification ID

Cooperative games (91A12) Auctions, bargaining, bidding and selling, and other market models (91B26) General equilibrium theory (91B50)

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Cites work

• scientific article; zbMATH DE number 1154009 (Why is no real title available?)
• An equilibrium existence theorem for a general model without ordered preferences
• Arbitrage and price revelation with asymmetric information and incomplete markets
• Arbitrage and the Existence of Competitive Equilibrium
• Corrections to an equilibrium existence theorem for a general model without ordered preferences
• Equilibrium in incomplete markets. I: A basic model of generic existence
• Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
• Partially revealing rational expectations equilibria with nominal assets
• Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices
• Stochastic equilibria with incomplete financial markets
• \(T\)-period economies with incomplete markets

Cited in

(13)

• Elimination of arbitrage states in asymmetric information models
• Unrealized arbitrage opportunities in naive equilibria with non-Bayesian belief processes
• Anything is Possible: On the Existence and Uniqueness of Equilibria in the Shleifer-Vishny Model of Limits of Arbitrage
• Equilibrium in incomplete markets with differential information: a basic model of generic existence
• Universal state prices and asymmetric information.
• Competitive equilibria with asymmetric information
• Collateralized assets and asymmetric information
• On the nonexistence of equlibrium with differential information
• Existence of linear equilibria in the Kyle model with multiple informed traders
• Dropping rational expectations
• Multiperiod security markets with differential information
• Arbitrage and price revelation with asymmetric information and incomplete markets
• No-arbitrage condition and existence of equilibrium with dividends

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