This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Rate of Arbitrage and Reconciled Beliefs Author info | Abstract | Publisher info | Download info | Related research | Statistics Yossi Feinberg () (Graduate School of Business, Stanford University)
Marco Scarsini () (Università di Torino)
Additional information is available for the following
registered author(s):
Any group of risk neutral agents who hold differing beliefs is vulnerable to money pumps (arbitrage). Thus, the agents may wish to reconcile their beliefs into a new joint belief. We propose a criterion for the choice of reconciled belief based on the notion of ``rate of arbitrage.'' It is shown that there exists a unique belief (probability distribution) that minimizes the maximal expected rate of arbitrage, and an explicit formula for this belief is given.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Article provided by Economics Bulletin in its journal Economics Bulletin .
Volume (Year): 4 (2003)
Issue (Month): 11 ()
Pages: 1-12
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Handle: RePEc:ebl:ecbull:v:4:y:2003:i:11:p:1-12Contact details of provider: Postal: Economics Bulletin, Department of Economics, 414 Calhoun Hall, Vanderbilt University, Nashville TN 37235, USA Phone: 615-322-2920 Fax: 615-343-8495 Email: Web page: http://www.economicsbulletin.com
For technical questions regarding this item, or to correct its listing, contact: (John Conley).
Keywords: arbitrage ; betting system ; Dutch book ; inconsistent beliefs ; subjective probability ; zero-sum game ; Find related papers by JEL classification: D8 - Microeconomics - - Information, Knowledge, and Uncertainty D7 - Microeconomics - - Analysis of Collective Decision-Making
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.:
Feinberg, Yossi, 2000.
"Characterizing Common Priors in the Form of Posteriors ,"
Journal of Economic Theory ,
Elsevier, vol. 91(2), pages 127-179, April.
[Downloadable!] (restricted)
Kalai, Ehud & Lehrer, Ehud, 1993.
"Rational Learning Leads to Nash Equilibrium ,"
Econometrica ,
Econometric Society, vol. 61(5), pages 1019-45, September.
[Downloadable!] (restricted)
Other versions:
Ehud Kalai & Ehud Lehrer, 1990.
"Rational Learning Leads to Nash Equilibrium ,"
Discussion Papers
895, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
[Downloadable!] Ehud Kalai & Ehud Lehrer, 1990.
"Rational Learning Leads to Nash Equilibrium ,"
Discussion Papers
925, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
[Downloadable!] Kalai, Ehud & Lehrer, Ehud, 1991.
"Rational Learning Leads to Nash Equilibrium ,"
Working Papers
91-18, C.V. Starr Center for Applied Economics, New York University.
[Downloadable!] A. Dawid & M. DeGroot & J. Mortera & R. Cooke & S. French & C. Genest & M. Schervish & D. Lindley & K. McConway & R. Winkler, 1995.
"Coherent combination of experts' opinions ,"
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research ,
Springer, vol. 4(2), pages 263-313, December.
[Downloadable!] (restricted)
Milgrom, Paul & Stokey, Nancy, 1982.
"Information, trade and common knowledge ,"
Journal of Economic Theory ,
Elsevier, vol. 26(1), pages 17-27, February.
[Downloadable!] (restricted)
Other versions: Harsanyi, John C, 1995.
"Games with Incomplete Information ,"
American Economic Review ,
American Economic Association, vol. 85(3), pages 291-303, June.
Other versions: Kalai, Ehud & Lehrer, Ehud, 1994.
"Weak and strong merging of opinions ,"
Journal of Mathematical Economics ,
Elsevier, vol. 23(1), pages 73-86, January.
[Downloadable!] (restricted)
Other versions: Samet, Dov, 1998.
"Iterated Expectations and Common Priors ,"
Games and Economic Behavior ,
Elsevier, vol. 24(1-2), pages 131-141, July.
[Downloadable!] (restricted)
Morris, Stephen, 1994.
"Trade with Heterogeneous Prior Beliefs and Asymmetric Information ,"
Econometrica ,
Econometric Society, vol. 62(6), pages 1327-47, November.
[Downloadable!] (restricted)
Kalai, Ehud & Lehrer, Ehud, 1993.
"Subjective Equilibrium in Repeated Games ,"
Econometrica ,
Econometric Society, vol. 61(5), pages 1231-40, September.
[Downloadable!] (restricted)
Other versions: John Geanakoplos, 1989.
"Game Theory Without Partitions, and Applications to Speculation and Consensus ,"
Cowles Foundation Discussion Papers
914, Cowles Foundation, Yale University.
[Downloadable!]
Giacomo Bonanno & Klaus Nehring, 1999.
"How to make sense of the common prior assumption under incomplete information ,"
International Journal of Game Theory ,
Springer, vol. 28(3), pages 409-434.
[Downloadable!] (restricted)
Nau, Robert F. & McCardle, Kevin F., 1990.
"Coherent behavior in noncooperative games ,"
Journal of Economic Theory ,
Elsevier, vol. 50(2), pages 424-444, April.
[Downloadable!] (restricted)
Clark, Stephen A., 1993.
"The valuation problem in arbitrage price theory ,"
Journal of Mathematical Economics ,
Elsevier, vol. 22(5), pages 463-478.
[Downloadable!] (restricted)
Kalai, Ehud & Lehrer, Ehud, 1993.
"Subjective Games and Equilibria ,"
Working Papers
875, California Institute of Technology, Division of the Humanities and Social Sciences.
[Downloadable!]
Full
references
Access and
download statistics Did you know? About five million pdf files are downloaded through RePEc every year.
This page was last updated on 2009-11-16.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .