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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 D Boisdeffre

    (INSEE, Paris and Universite de Paris 1)

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://www2.ku.edu/~kuwpaper/2009Papers/200912.pdf
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Bibliographic Info

Paper provided by University of Kansas, Department of Economics in its series WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS with number 200912.

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Length: 7 pages
Date of creation: Dec 2009
Date of revision: Dec 2009
Handle: RePEc:kan:wpaper:200912

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Related research

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

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Citations

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Cited by:
  1. Bernard Cornet & Ramu Gopalan, 2009. "Arbitrage and equilibrium with portofolio constraints," Documents de travail du Centre d'Economie de la Sorbonne 09077, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  2. 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.
  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, 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.
  6. 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.
  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. repec:hal:journl:halshs-00722035 is not listed on IDEAS
  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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