Elimination of arbitrage states in asymmetric information models

被引：4
|
作者：
Cornet, Bernard [1 ,2 ]
De Boisdeffre, Lionel [2 ,3 ]
机构：
[1] Univ Kansas, Dept Econ, Lawrence, KS 66045 USA
[2] Univ Paris 01, CERMSEM, F-75013 Paris, France
[3] CREST, INSEE, Paris, France
来源：
ECONOMIC THEORY | 2009年 / 38卷 / 02期
关键词：
Arbitrage; Incomplete markets; Asymmetric information; Information revealed by prices; D52;
D O I：
10.1007/s00199-007-0205-z
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In a financial economy with asymmetric information and incomplete markets, we study how agents, having no model of how equilibrium prices are determined, may still refine their information by eliminating sequentially "arbitrage state(s)", namely, the state(s) which would grant the agent an arbitrage, if realizable.
引用
收藏
页码：287 / 293
页数：7
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