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Pricing rules and Arrow–Debreu ambiguous valuation

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  • Aloisio Araujo
  • Alain Chateauneuf
  • José Faro

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File URL: http://hdl.handle.net/10.1007/s00199-011-0660-4
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Bibliographic Info

Article provided by Springer in its journal Economic Theory.

Volume (Year): 49 (2012)
Issue (Month): 1 (January)
Pages: 1-35

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Handle: RePEc:spr:joecth:v:49:y:2012:i:1:p:1-35

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Related research

Keywords: Pricing rule; Frictionless incomplete market; Ambiguity; State price; Capacity; Lehrer integral; Choquet integral; D52; D53;

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References

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  1. Yaron Azrieli & Ehud Lehrer, 2007. "Extendable Cooperative Games," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 9(6), pages 1069-1078, December.
  2. Jouini, Elyes & Kallal, Hedi, 2001. "Efficient Trading Strategies in the Presence of Market Frictions," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 343-69.
  3. Clark, Stephen A., 1993. "The valuation problem in arbitrage price theory," Journal of Mathematical Economics, Elsevier, vol. 22(5), pages 463-478.
  4. Kallal, Hedi & Jouini, Elyès, 2001. "Efficient Trading Strategies in the Presence of Market Frictions," Economics Papers from University Paris Dauphine 123456789/4721, Paris Dauphine University.
  5. Ross, Stephen A, 1978. "A Simple Approach to the Valuation of Risky Streams," The Journal of Business, University of Chicago Press, vol. 51(3), pages 453-75, July.
  6. A. Chateauneuf & R. Kast & A. Lapied, 1996. "Choquet Pricing For Financial Markets With Frictions," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 323-330.
  7. Alexandre Baptista, 2007. "On the Non-Existence of Redundant Options," Economic Theory, Springer, vol. 31(2), pages 205-212, May.
  8. Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June.
  9. Ross, Stephen A, 1976. "Options and Efficiency," The Quarterly Journal of Economics, MIT Press, vol. 90(1), pages 75-89, February.
  10. Chateauneuf, Alain, 1991. "On the use of capacities in modeling uncertainty aversion and risk aversion," Journal of Mathematical Economics, Elsevier, vol. 20(4), pages 343-369.
  11. Aliprantis, Charalambos D. & Tourky, Rabee, 2002. "Markets that don't replicate any option," Economics Letters, Elsevier, vol. 76(3), pages 443-447, August.
  12. Klaus Nehring & Michael Magill & Julian R. Betts, 2003. "Capacities And Probabilistic Beliefs: A Precarious Coexistence," Working Papers 978, University of California, Davis, Department of Economics.
  13. Elyès Jouini, 1999. "Price Functionals with Bid-Ask Spreads: An Axiomatic Approach," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-038, New York University, Leonard N. Stern School of Business-.
  14. Michael Magill & Martine Quinzii, 2002. "Theory of Incomplete Markets, Volume 1," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262632543, December.
  15. Ehud Lehrer, 2005. "A new integral for capacities," Game Theory and Information 0504004, EconWPA.
  16. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
  17. Biswas, A. K. & Parthasarathy, T. & Potters, J. A. M. & Voorneveld, M., 1999. "Large Cores and Exactness," Games and Economic Behavior, Elsevier, vol. 28(1), pages 1-12, July.
  18. Bettzuge, Marc Oliver & Hens, Thorsten & Laitenberger, Marta & Siwik, Thomas, 2000. "On Choquet prices in a GEI-model with intermediation costs," Research in Economics, Elsevier, vol. 54(2), pages 133-152, June.
  19. Sujoy Mukerji & Peter Klibanoff and Massimo Marinacci, 2011. "Definitions of Ambiguous Events and the Smooth Ambiguity Model," Economics Series Working Papers 525, University of Oxford, Department of Economics.
  20. Kallal, Hedi & Jouini, Elyès, 1995. "Martingales and arbitrage in securities markets with transaction costs," Economics Papers from University Paris Dauphine 123456789/5630, Paris Dauphine University.
  21. Scott Condie & Jayant Ganguli, 2011. "Informational efficiency with ambiguous information," Economic Theory, Springer, vol. 48(2), pages 229-242, October.
  22. repec:fth:inseep:9513 is not listed on IDEAS
  23. Bernard Bensaid & Jean-Philippe Lesne & Henri Pagès & José Scheinkman, 1992. "Derivative Asset Pricing With Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 63-86.
  24. Castagnoli, Erio & Maccheroni, Fabio & Marinacci, Massimo, 2002. "Insurance premia consistent with the market," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 267-284, October.
  25. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
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Citations

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Cited by:
  1. Patrick Beißner, 2013. "Coherent price systems and uncertainty-neutral valuation," Working Papers 464, Bielefeld University, Center for Mathematical Economics.
  2. Beißner, Patrick, 2013. "Coherent Price Systems and Uncertainty-Neutral Valuation," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80010, Verein für Socialpolitik / German Economic Association.
  3. Patrick Bei{\ss}ner, 2012. "Coherent Price Systems and Uncertainty-Neutral Valuation," Papers 1202.6632, arXiv.org.
  4. Yaarit Even & Ehud Lehrer, 2014. "Decomposition-integral: unifying Choquet and the concave integrals," Economic Theory, Springer, vol. 56(1), pages 33-58, May.

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