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Elimination Of Arbitrage States In Asymmetric Information Models

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Author Info
Bernard Cornet (Department of Economics, The University of Kansas)
Lionel De Boisdeffre (CERMSEM, Maison des Sciences Economiques, Universite de Paris 1)

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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://www.ku.edu/~bgju/2005Papers/200504.pdf
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Publisher Info
Paper provided by University of Kansas, Department of Economics in its series WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS with number 200504.

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Length: 9 pages
Date of creation: Feb 2005
Date of revision: Feb 2005
Handle: RePEc:kan:wpaper:200504

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Related research
Keywords: Arbitrage; incomplete markets; asymmetric information; information revealed by prices.;

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Find related papers by JEL classification:
D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets

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  1. Lionel De Boisdeffre, 2008. "The perfect foresights' assumption revisited : (I) the existence of equilibrium with multiple price expectations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00354814_v1, HAL. [Downloadable!]
  2. 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. [Downloadable!]
  3. Dionysius Glycopantis & Carlos Hervés-Beloso & Konrad Podczeck, 2009. "Symposium on: equilibria with asymmetric information," Economic Theory, Springer, vol. 38(2), pages 217-219, February. [Downloadable!] (restricted)
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