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Elimination of arbitrage states in asymmetric information models

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Author Info

  • Bernard Cornet

    ()

  • Lionel Boisdeffre

    ()

Abstract

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.

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File URL: http://hdl.handle.net/10.1007/s00199-007-0205-z
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Bibliographic Info

Article provided by Springer in its journal Economic Theory.

Volume (Year): 38 (2009)
Issue (Month): 2 (February)
Pages: 287-293

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Handle: RePEc:spr:joecth:v:38:y:2009:i:2:p:287-293

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Web page: http://link.springer.de/link/service/journals/00199/index.htm

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Related research

Keywords: Arbitrage; Incomplete markets; Asymmetric information; Information revealed by prices; D52;

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Cited by:
  1. repec:hal:journl:halshs-00722035 is not listed on IDEAS
  2. Bernard Cornet & Ramu Gopalan, 2009. "Arbitrage and Equilibrium with Portfolio Constraints," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200911, University of Kansas, Department of Economics, revised Dec 2009.
  3. Lionel De Boisdeffre, 2012. "Arbitrage and price revelation with private beliefs," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00722035, HAL.
  4. repec:hal:journl:halshs-00746975 is not listed on IDEAS
  5. Lionel de Boisdeffre, 2012. "Arbitrage and price revelation with private beliefs," Documents de travail du Centre d'Economie de la Sorbonne 12053, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  6. Lionel De Boisdeffre, 2008. "The perfect foresights' assumption revisited : the existence of equilibrium with multiple price expectations," Documents de travail du Centre d'Economie de la Sorbonne b08104, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  7. repec:hal:cesptp:halshs-00354814 is not listed on IDEAS
  8. Lionel de Boisdeffre, 2012. "On the existence of financial equilibrium when beliefs are private," Documents de travail du Centre d'Economie de la Sorbonne 12055, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  9. Lionel De Boisdeffre, 2012. "On the existence of financial equilibrium when beliefs are private," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00746975, HAL.
  10. Dionysius Glycopantis & Carlos Hervés-Beloso & Konrad Podczeck, 2009. "Symposium on: equilibria with asymmetric information," Economic Theory, Springer, vol. 38(2), pages 217-219, February.

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