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Pricing rules and Arrow–Debreu ambiguous valuation

  • Aloisio Araujo
  • Alain Chateauneuf
  • José Faro

    ()

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File URL: http://hdl.handle.net/10.1007/s00199-011-0660-4
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Article provided by Springer & Society for the Advancement of Economic Theory (SAET) 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
Contact details of provider: Web page: http://www.springer.com

Web page: http://saet.uiowa.edu/

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Order Information: Web: http://www.springer.com/economics/economic+theory/journal/199/PS2

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  1. Ehud Lehrer, 2005. "A new integral for capacities," Game Theory and Information 0504004, EconWPA.
  2. 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.
  3. Nehring, Klaus, 1999. "Capacities and probabilistic beliefs: a precarious coexistence," Mathematical Social Sciences, Elsevier, vol. 38(2), pages 197-213, September.
  4. Scott Condie & Jayant Ganguli, 2011. "Informational efficiency with ambiguous information," Economic Theory, Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 229-242, October.
  5. 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.
  6. 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.
  7. Sujoy Mukerji & Peter Klibanoff & Massimo Marinacci, 2011. "Definitions of Ambiguous Events and the Smooth Ambiguity Model," Economics Series Working Papers 525, University of Oxford, Department of Economics.
  8. Jouini, Elyes & Kallal, Hedi, 2001. "Efficient Trading Strategies in the Presence of Market Frictions," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 343-69.
  9. Han Ozsoylev & Jan Werner, 2011. "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 469-491, October.
  10. Michael Magill & Martine Quinzii, 2002. "Theory of Incomplete Markets, Volume 1," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262632543, June.
  11. 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.
  12. Clark, Stephen A., 1993. "The valuation problem in arbitrage price theory," Journal of Mathematical Economics, Elsevier, vol. 22(5), pages 463-478.
  13. Elyès Jouini, 1999. "Price Functionals with Bid-Ask Spreads: An Axiomatic Approach," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-038, New York University, Leonard N. Stern School of Business-.
  14. 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.
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  16. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
  17. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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  19. 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.
  20. Stephen A. Ross, 1976. "Options and Efficiency," The Quarterly Journal of Economics, Oxford University Press, vol. 90(1), pages 75-89.
  21. 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.
  22. Luciano Castro & Marialaura Pesce & Nicholas Yannelis, 2011. "Core and equilibria under ambiguity," Economic Theory, Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 519-548, October.
  23. Aliprantis, Charalambos D. & Tourky, Rabee, 2002. "Markets that don't replicate any option," Economics Letters, Elsevier, vol. 76(3), pages 443-447, August.
  24. N. French & C. Ward, 1993. "Valuation and arbitrage," ERES eres1993-121, European Real Estate Society (ERES).
  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.
  26. Alexandre Baptista, 2007. "On the Non-Existence of Redundant Options," Economic Theory, Society for the Advancement of Economic Theory (SAET), vol. 31(2), pages 205-212, May.
  27. 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.
  28. repec:dau:papers:123456789/5630 is not listed on IDEAS
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