Elimination of arbitrage states in asymmetric information models
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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Volume (Year): 38 (2009)
Issue (Month): 2 (February)
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