No-arbitrage equilibria with differential information : a proof of existence
AbstractOn the example of a pure-exchange financial economy with two periods, incomplete nominal asset markets and differential information of the adverse selection's type, Cornet-De Boisdeffre (2002) introduced refined concepts of price, arbitrage and a so-called «no-arbitrage equilibrium», which extended to the asymmetric setting the classical concepts of the symmetric information literature. We now show a no-arbitrage equilibrium exists, for any given no-arbitrage asset price, under the same standard conditions on consumption and preferences, as the classical financial equilibrium with symmetric information.
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Bibliographic InfoPaper provided by Université Panthéon-Sorbonne (Paris 1) in its series Cahiers de la Maison des Sciences Economiques with number b04035.
Length: 16 pages
Date of creation: Apr 2004
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General equilibrium; asymmetric information; arbitrage; inference; existence of equilibrium.;
Find related papers by JEL classification:
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-12-12 (All new papers)
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- Monique Florenzano, 2008.
Documents de travail du Centre d'Economie de la Sorbonne
b08005, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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