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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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Abstract

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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. Scott Condie & Jayant Ganguli, 2011. "Informational efficiency with ambiguous information," Economic Theory, Springer, vol. 48(2), pages 229-242, October.
  2. Nehring, Klaus, 1999. "Capacities and probabilistic beliefs: a precarious coexistence," Mathematical Social Sciences, Elsevier, vol. 38(2), pages 197-213, September.
  3. 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.
  4. 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.
  5. Elyès Jouini & Hédi Kallal, 1998. "Efficient Trading Strategies in the Presence of Market Frictions," Working Papers 98-31, Centre de Recherche en Economie et Statistique.
  6. Chateauneuf, A. & Kast, R. & Lapied, A., 1992. "Choquet Pricing for Financial Markets with Frictions," G.R.E.Q.A.M. 92a11, Universite Aix-Marseille III.
  7. 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.
  8. Aliprantis, Charalambos D. & Tourky, Rabee, 2002. "Markets that don't replicate any option," Economics Letters, Elsevier, vol. 76(3), pages 443-447, August.
  9. 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.
  10. Michael Magill & Martine Quinzii, 2002. "Theory of Incomplete Markets, Volume 1," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262632543, December.
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  12. Elyès Jouini, 1997. "Price Functionals with Bid-Ask Spreads : An Axiomatic Approach," Working Papers 97-05, Centre de Recherche en Economie et Statistique.
  13. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
  14. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
  15. 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.
  16. Ross, Stephen A, 1976. "Options and Efficiency," The Quarterly Journal of Economics, MIT Press, vol. 90(1), pages 75-89, February.
  17. 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.
  18. Ehud Lehrer, 2009. "A new integral for capacities," Economic Theory, Springer, vol. 39(1), pages 157-176, April.
  19. Alexandre Baptista, 2007. "On the Non-Existence of Redundant Options," Economic Theory, Springer, vol. 31(2), pages 205-212, May.
  20. 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.
  21. Clark, Stephen A., 1993. "The valuation problem in arbitrage price theory," Journal of Mathematical Economics, Elsevier, vol. 22(5), pages 463-478.
  22. 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.
  23. 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.
  24. 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.
  25. 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.
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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. Yaarit Even & Ehud Lehrer, 2014. "Decomposition-integral: unifying Choquet and the concave integrals," Economic Theory, Springer, vol. 56(1), pages 33-58, May.
  4. Patrick Bei{\ss}ner, 2012. "Coherent Price Systems and Uncertainty-Neutral Valuation," Papers 1202.6632, arXiv.org.

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