IDEAS home Printed from https://ideas.repec.org/f/c/pwe351.html
   My authors  Follow this author

Jan Werner

Not to be confused with: Jan Werner

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Jan Werner, 2018. "Speculative Bubbles, Heterogeneopus Beliefs, and Learning," 2018 Meeting Papers 1216, Society for Economic Dynamics.

    Cited by:

    1. Klishchuk, Bogdan, 2019. "Speculative Trade and Market Newcomers," Rationality and Competition Discussion Paper Series 175, CRC TRR 190 Rationality and Competition.

  2. Jan Werner, 2016. "Speculative Trade under Ambiguity," 2016 Meeting Papers 1607, Society for Economic Dynamics.

    Cited by:

    1. Yang Hao, 2023. "Financial Market with Learning from Price under Knightian Uncertainty," Working Papers hal-03686748, HAL.
    2. Sujoy Mukerji & Han N. Ozsoylev & Jean‐Marc Tallon, 2023. "Trading Ambiguity: A Tale Of Two Heterogeneities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1127-1164, August.

  3. Jan Werner & Ramon Marimon, 2015. "Envelope Theorem, Euler, and Bellman Equations without Differentiability," 2015 Meeting Papers 1415, Society for Economic Dynamics.

    Cited by:

    1. Michail Anthropelos & Paul Schneider, 2021. "Optimal Investment and Equilibrium Pricing under Ambiguity," Swiss Finance Institute Research Paper Series 21-78, Swiss Finance Institute.
    2. Steven Campbell & Ting-Kam Leonard Wong, 2022. "Efficient Convex PCA with applications to Wasserstein geodesic PCA and ranked data," Papers 2211.02990, arXiv.org, revised Aug 2023.
    3. Meghana Gaur & John Grigsby & Jonathon & Abdoulaye Ndiaye, 2023. "Bonus Question: Does Flexible Incentive Pay Dampen Unemployment Dynamics?," Discussion Papers 2321, Centre for Macroeconomics (CFM).

  4. Kevin X. D. Huang & Jan Werner, 2002. "Implementing Arrow-Debreu equilibria by trading infinitely-lived securities," Research Working Paper RWP 02-08, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Aloisio Araujo, 2015. "General equilibrium, preferences and financial institutions after the crisis," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 58(2), pages 217-254, February.
    2. Marco Bassetto & Thomas Sargent, 2005. "Politics and Efficiency of Separating Capital and Ordinary Government Budgets," NBER Working Papers 11030, National Bureau of Economic Research, Inc.
    3. Patrick Leoni, "undated". "Market Power, Survival and Accuracy of Predictions in Financial Markets," IEW - Working Papers 216, Institute for Empirical Research in Economics - University of Zurich.
    4. Lise Clain-Chamosset-Yvrard, 2018. "Expectation-driven asset price fluctuations under the spirit of capitalism hypothesis: The role of heterogeneity," Working Papers 1803, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    5. Werner, Jan, 2014. "Rational asset pricing bubbles and debt constraints," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 145-152.

  5. Charalambos Aliprantis & Donald J. Brown & Werner, J., 1997. "Incomplete Derivative Markets and Portfolio Insurance," Cowles Foundation Discussion Papers 1126R, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Katsikis, Vasilios N. & Mourtas, Spyridon D., 2019. "A heuristic process on the existence of positive bases with applications to minimum-cost portfolio insurance in C[a, b]," Applied Mathematics and Computation, Elsevier, vol. 349(C), pages 221-244.

  6. Kevin X.D. Huang & Jan Werner, 1997. "Valuation bubbles and sequential bubbles," Economics Working Papers 303, Department of Economics and Business, Universitat Pompeu Fabra, revised Dec 1997.

    Cited by:

    1. Montrucchio, Luigi & Privileggi, Fabio, 1999. "On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type," POLIS Working Papers 5, Institute of Public Policy and Public Choice - POLIS.
    2. Bhattacharya, Utpal, 2003. "The optimal design of Ponzi schemes in finite economies," Journal of Financial Intermediation, Elsevier, vol. 12(1), pages 2-24, January.

  7. Jan Werner, 1995. "Arbitrage, bubbles and valuation," Economics Working Papers 121, Department of Economics and Business, Universitat Pompeu Fabra.

    Cited by:

    1. Gilles, Christian & LeRoy, Stephen F., 1998. "Arbitrage, martingales and bubbles," Economics Letters, Elsevier, vol. 60(3), pages 357-362, September.
    2. Kevin X.D. Huang & Jan Werner, 1997. "Valuation bubbles and sequential bubbles," Economics Working Papers 303, Department of Economics and Business, Universitat Pompeu Fabra, revised Dec 1997.
    3. Araujo, Aloisio & Novinski, Rodrigo & Páscoa, Mário R., 2011. "General equilibrium, wariness and efficient bubbles," Journal of Economic Theory, Elsevier, vol. 146(3), pages 785-811, May.
    4. Werner, Jan, 2014. "Rational asset pricing bubbles and debt constraints," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 145-152.

  8. Brown, D.J. & Werner, J., 1992. "Arbitrage and Existence of Equilibrium in Finite Asset Markets," Papers 43, Stanford - Institute for Thoretical Economics.

    Cited by:

    1. Thai Ha Huy & Cuong Le Van & Manh Hung Nguyen, 2014. "Arbitrage and asset market equilibrium in infinite dimensional economies with short," Working Papers 2014-100, Department of Research, Ipag Business School.
    2. Thai Ha-Huy & Cuong Le Van, 2017. "Existence of equilibrium on asset markets with a countably infinite number of states," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02877952, HAL.
    3. Thai Ha-Huy & Cuong Le Van & Nguyen Manh Hung, 2016. "Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01390954, HAL.
    4. Senda Ounaies & Jean-Marc Bonnisseau & Souhail Chebbi, 2019. "Equilibrium of a production economy with non-compact attainable allocations set," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01859163, HAL.
    5. Le Van, Cuong & Truong Xuan, Duc Ha, 2001. "Asset market equilibrium in Lp spaces with separable utilities," Journal of Mathematical Economics, Elsevier, vol. 36(3), pages 241-254, December.
    6. Dana, R.-A. & Le Van, C. & Magnien, F., 1999. "On the Different Notions of Arbitrage and Existence of Equilibrium," Papiers d'Economie Mathématique et Applications 1999.34, Université Panthéon-Sorbonne (Paris 1).
    7. Cuong Le Van & Frank H. Page & Myrna H. Wooders, 2007. "Risky Arbitrage, Asset Prices, and Externalities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00102698, HAL.
    8. Thai Ha-Huy & Cuong Le Van & Frank Page & Myrna Wooders, 2017. "No-arbitrage and Equilibrium in Finite Dimension: A General Result," Documents de recherche 17-06, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    9. Allouch, N. & Florenzano, M., 2000. "Edgeworth and Walras Equilibria of an Arbitrage-Free Exchange Economy," Papiers d'Economie Mathématique et Applications 2000.119, Université Panthéon-Sorbonne (Paris 1).
    10. Martins-da-Rocha, V. Filipe & Monteiro, Paulo K., 2009. "Unbounded exchange economies with satiation: How far can we go?," Journal of Mathematical Economics, Elsevier, vol. 45(7-8), pages 465-478, July.
    11. Dana, Rose-Anne & Le Van, Cuong, 1996. "Arbitrage, duality and asset equilibria," CEPREMAP Working Papers (Couverture Orange) 9613, CEPREMAP.
    12. Xanthos, Foivos, 2014. "A note on the equilibrium theory of economies with asymmetric information," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 1-3.
    13. Kashyap Ravi, 2020. "The Economics of Enlightenment: Time Value of Knowledge and the Net Present Value (NPV) of Knowledge Machines, A Proposed Approach Adapted from Finance," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 20(2), pages 1-23, April.
    14. Charalambos Aliprantis & Kim Border & Owen Burkinshaw, 1996. "Market economies with many commodities," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 19(1), pages 113-185, March.
    15. Allouch, Nizar & Le Van, Cuong & Page, Jr. Frank H., 2001. "The geometry of arbitrage and the existence of competitive equilibrium," The Warwick Economics Research Paper Series (TWERPS) 598, University of Warwick, Department of Economics.
    16. Ravi Kashyap, 2019. "The Economics of Enlightenment: Time Value of Knowledge and the Net Present Value (NPV) of Knowledge Machines, A Proposed Approach Adapted from Finance," Papers 1908.03233, arXiv.org, revised Jan 2021.
    17. Thai Ha-Huy & Cuong Le Van, 2012. "Asset market equilibrium with short-selling and a continuum of number of states of nature," Working Papers hal-04132780, HAL.
    18. Page, Frank H., Jr. & Wooders, Myrna H. & Monteiro, Paulo K., 1999. "Inconsequential arbitrage," Economic Research Papers 269332, University of Warwick - Department of Economics.
    19. Senda Ounaies & Jean-Marc Bonnisseau & Souhail Chebbi, 2016. "Equilibrium of a production economy with unbounded attainable allocations set," Documents de travail du Centre d'Economie de la Sorbonne 16056, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    20. Aliprantis, C. D. & Florenzano, M. & Martins-da-Rocha, V. F. & Tourky, R., 2004. "Equilibrium analysis in financial markets with countably many securities," Journal of Mathematical Economics, Elsevier, vol. 40(6), pages 683-699, September.
    21. Ravi Kashyap, 2023. "DeFi Security: Turning The Weakest Link Into The Strongest Attraction," Papers 2312.00033, arXiv.org.
    22. W D A Bryant, 2009. "General Equilibrium:Theory and Evidence," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6875.
    23. Dana, R. A. & Le Van, C., 1996. "Asset Equilibria in Lp spaces with complete markets: A duality approach," Journal of Mathematical Economics, Elsevier, vol. 25(3), pages 263-280.
    24. Aliprantis, C. D. & Brown, D. J. & Polyrakis, I. A. & Werner, J., 1998. "Portfolio dominance and optimality in infinite security markets," Journal of Mathematical Economics, Elsevier, vol. 30(3), pages 347-366, October.
    25. Thai Ha-Huy & Cuong Le Van & Cuong Tran-Viet, 2018. "Arbitrage and equilibrium in economies with short-selling and ambiguity," Post-Print hal-02877948, HAL.
    26. Wassim Daher & V. Filipe Martins-Da-Rocha & Yiannis Vailakis, 2005. "Asset market equilibrium with short-selling and differential information," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00173787, HAL.
    27. Werner, Jan, 1997. "Diversification and Equilibrium in Securities Markets," Journal of Economic Theory, Elsevier, vol. 75(1), pages 89-103, July.
    28. Thai Ha-Huy & Cuong Le Van & Myrna Wooders, 2023. "Necessary and Sufficient Condition for the Existence of Equilibrium in Finite Dimensional Asset Markets with Short-Selling and Preferences with Half-Lines," Working Papers hal-04131008, HAL.
    29. Paul Oslington, 2012. "General Equilibrium: Theory and Evidence," The Economic Record, The Economic Society of Australia, vol. 88(282), pages 446-448, September.
    30. Kashyap Ravi, 2020. "The Economics of Enlightenment: Time Value of Knowledge and the Net Present Value (NPV) of Knowledge Machines, A Proposed Approach Adapted from Finance," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 20(2), pages 1-23, April.

  9. Tomasz Strzalecki & Jan Werner, "undated". "Efficient Allocations under Ambiguity," Working Paper 8325, Harvard University OpenScholar.

    Cited by:

    1. Boonen, Tim J. & Jiang, Wenjun, 2022. "Bilateral risk sharing in a comonotone market with rank-dependent utilities," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 361-378.
    2. Piero Gottardi & Jean-Marc Tallon & Paolo Ghirardato, 2017. "Flexible contracts," Post-Print hal-01238046, HAL.
    3. Spyros Galanis, 2021. "Dynamic consistency, valuable information and subjective beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(4), pages 1467-1497, June.
    4. Patrick Beissner & Frank Riedel, 2019. "Equilibria Under Knightian Price Uncertainty," Econometrica, Econometric Society, vol. 87(1), pages 37-64, January.
    5. Sujoy Mukerji & Han N. Ozsoylev & Jean‐Marc Tallon, 2023. "Trading Ambiguity: A Tale Of Two Heterogeneities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1127-1164, August.
    6. Luciano de Castro & Alain Chateauneuf, 2011. "Ambiguity aversion and trade," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00685408, HAL.
    7. Ghirardato, Paolo & Siniscalchi, Marciano, 2018. "Risk sharing in the small and in the large," Journal of Economic Theory, Elsevier, vol. 175(C), pages 730-765.
    8. Jan Werner, 2021. "Participation in risk sharing under ambiguity," Theory and Decision, Springer, vol. 90(3), pages 507-519, May.
    9. Michail Anthropelos & Paul Schneider, 2021. "Optimal Investment and Equilibrium Pricing under Ambiguity," Swiss Finance Institute Research Paper Series 21-78, Swiss Finance Institute.
    10. Patrick Beissner, 2017. "Equilibrium prices and trade under ambiguous volatility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(2), pages 213-238, August.
    11. Liebrich, Felix-Benedikt & Svindland, Gregor, 2019. "Efficient allocations under law-invariance: A unifying approach," Journal of Mathematical Economics, Elsevier, vol. 84(C), pages 28-45.
    12. Araujo A. & Chateauneuf A. & Gama-Torres J. & Novinski R., 2014. "General equilibrium, risk taking and volatility," Working Papers 2014-181, Department of Research, Ipag Business School.
    13. Alain Chateauneuf & Luciano De Castro, 2011. "Ambiguity Aversion and Absence of Trade," Discussion Papers 1535, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    14. Beissner, Patrick & Werner, Jan, 2023. "Optimal allocations with α-MaxMin utilities, Choquet expected utilities, and Prospect Theory," Theoretical Economics, Econometric Society, vol. 18(3), July.
    15. Eisei Ohtaki, 2020. "Optimality in an OLG model with nonsmooth preferences," Working Papers e145, Tokyo Center for Economic Research.
    16. Werner, Jan, 2011. "Risk aversion for variational and multiple-prior preferences," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 382-390.
    17. Han Ozsoylev & Jan Werner, 2011. "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 469-491, October.
    18. Chakravarty, Surajeet & Kelsey, David, 2015. "Sharing ambiguous risks," Journal of Mathematical Economics, Elsevier, vol. 56(C), pages 1-8.
    19. Felix-Benedikt Liebrich, 2021. "Risk sharing under heterogeneous beliefs without convexity," Papers 2108.05791, arXiv.org, revised May 2022.
    20. Corbae, Dean & Marimon, Ramon, 2011. "Introduction to Incompleteness and Uncertainty in Economics," Journal of Economic Theory, Elsevier, vol. 146(3), pages 775-784, May.
    21. Lensman, Todd & Troshkin, Maxim, 2022. "Implications of uncertainty for optimal policies," Journal of Economic Theory, Elsevier, vol. 199(C).
    22. Jean-Gabriel Lauzier & Liyuan Lin & Ruodu Wang, 2024. "Negatively dependent optimal risk sharing," Papers 2401.03328, arXiv.org.

Articles

  1. Werner, Jan, 2022. "Speculative trade under ambiguity," Journal of Economic Theory, Elsevier, vol. 199(C).
    See citations under working paper version above.
  2. Jan Werner, 2021. "Participation in risk sharing under ambiguity," Theory and Decision, Springer, vol. 90(3), pages 507-519, May.

    Cited by:

    1. Beissner, Patrick & Werner, Jan, 2023. "Optimal allocations with α-MaxMin utilities, Choquet expected utilities, and Prospect Theory," Theoretical Economics, Econometric Society, vol. 18(3), July.

  3. Marimon, Ramon & Werner, Jan, 2021. "The envelope theorem, Euler and Bellman equations, without differentiability," Journal of Economic Theory, Elsevier, vol. 196(C).
    See citations under working paper version above.
  4. Werner, Jan, 2014. "Rational asset pricing bubbles and debt constraints," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 145-152.

    Cited by:

    1. Bidian, Florin, 2016. "Robust bubbles with mild penalties for default," Journal of Mathematical Economics, Elsevier, vol. 65(C), pages 141-153.
    2. Stefano BOSI & Cuong LE VAN & Ngoc-Sang PHAM, 2016. "Asset bubbles and efficiency in a generalized two-sector model," Documents de recherche 16-04, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    3. Takashi Kamihigashi, 2016. "A Simple No-Bubble Theorem for Deterministic Sequential Economies," Discussion Paper Series DP2016-15, Research Institute for Economics & Business Administration, Kobe University.
    4. Bejan, Camelia & Bidian, Florin, 2014. "Bubbles and trading in incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 137-144.
    5. Takashi Kamihigashi, 2016. "A Simple Optimality-Based No-Bubble Theorem for Deterministic Sequential Economies," Discussion Paper Series DP2016-22, Research Institute for Economics & Business Administration, Kobe University.
    6. Bosi, Stefano & Le Van, Cuong & Pham, Ngoc-Sang, 2022. "Real indeterminacy and dynamics of asset price bubbles in general equilibrium," Journal of Mathematical Economics, Elsevier, vol. 100(C).
    7. V. Filipe Martins-da-Rocha & Toan Phan & Yiannis Vailakis, 2019. "Debt Limits and Credit Bubbles in General Equilibrium," Working Paper 19-19, Federal Reserve Bank of Richmond.
    8. Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2014. "Intertemporal equilibrium with production: bubbles and efficiency," Working Papers 2014-306, Department of Research, Ipag Business School.
    9. Bidian, Florin, 2015. "Portfolio constraints, differences in beliefs and bubbles," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 317-326.
    10. Takashi Kamihigashi, 2015. "A Simple No-Bubble Theorem for Deterministic Dynamic Economies," Discussion Paper Series DP2015-24, Research Institute for Economics & Business Administration, Kobe University.
    11. Miao, Jianjun, 2014. "Introduction to economic theory of bubbles," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 130-136.
    12. Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2021. "Real indeterminacy and dynamics of asset price bubbles in general equilibrium," Working Papers halshs-02993656, HAL.
    13. Hirano, Tomohiro & Toda, Alexis Akira, 2024. "Bubble economics," LSE Research Online Documents on Economics 122042, London School of Economics and Political Science, LSE Library.
    14. Takashi Kamihigashi, 2015. "A Simple No-Bubble Theorem," Discussion Paper Series DP2015-03, Research Institute for Economics & Business Administration, Kobe University.
    15. Takashi Kamihigashi, 2016. "A Simple Optimality-Based No-Bubble Theorem for Deterministic Sequential Economies with Strictly Monotone Preferences," Discussion Paper Series DP2016-32, Research Institute for Economics & Business Administration, Kobe University, revised Dec 2017.
    16. Zhang, Yue-Jun & Wang, Jing, 2015. "Exploring the WTI crude oil price bubble process using the Markov regime switching model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 377-387.
    17. Theodosios Perifanis, 2019. "Detecting West Texas Intermediate (WTI) Prices’ Bubble Periods," Energies, MDPI, vol. 12(14), pages 1-16, July.

  5. Strzalecki, Tomasz & Werner, Jan, 2011. "Efficient allocations under ambiguity," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1173-1194, May.
    See citations under working paper version above.
  6. Han Ozsoylev & Jan Werner, 2011. "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 469-491, October.

    Cited by:

    1. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," NBER Working Papers 16181, National Bureau of Economic Research, Inc.
    2. Antoine Billot & Sujoy Mukerji & Jean-Marc Tallon, 2020. "Market Allocations under Ambiguity: A Survey," Post-Print halshs-02495663, HAL.
    3. Werner, Jan, 2022. "Speculative trade under ambiguity," Journal of Economic Theory, Elsevier, vol. 199(C).
    4. König-Kersting, Christian & Kops, Christopher & Trautmann, Stefan T., 2023. "A test of (weak) certainty independence," Journal of Economic Theory, Elsevier, vol. 209(C).
    5. Brishti Guha, 2012. "Gambling on Genes: Ambiguity Aversion Explains Investment in Sisters’ Children," Working Papers 33-2012, Singapore Management University, School of Economics.
    6. Dai, Peng-Fei & Xiong, Xiong & Duc Huynh, Toan Luu & Wang, Jiqiang, 2022. "The impact of economic policy uncertainties on the volatility of European carbon market," Journal of Commodity Markets, Elsevier, vol. 26(C).
    7. Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    8. Aloisio Araujo & Alain Chateauneuf & José Heleno Faro, 2012. "Pricing rules and Arrow-Debreu ambiguous valuation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00685413, HAL.
    9. Pasquariello, Paolo, 2014. "Prospect Theory and market quality," Journal of Economic Theory, Elsevier, vol. 149(C), pages 276-310.
    10. Yang Hao, 2023. "Financial Market with Learning from Price under Knightian Uncertainty," Working Papers hal-03686748, HAL.
    11. Fujii, Tomoki, 2014. "Dynamic Poverty Decomposition Analysis: An Application to the Philippines," ADBI Working Papers 466, Asian Development Bank Institute.
    12. Goodman, James, 2014. "Evidence for ecological learning and domain specificity in rational asset pricing and market efficiency," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 48(C), pages 27-39.
    13. Luciano de Castro & Alain Chateauneuf, 2011. "Ambiguity aversion and trade," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00685408, HAL.
    14. Yu, Edison G., 2018. "Dynamic market participation and endogenous information aggregation," Journal of Economic Theory, Elsevier, vol. 175(C), pages 491-517.
    15. Jan Werner, 2021. "Participation in risk sharing under ambiguity," Theory and Decision, Springer, vol. 90(3), pages 507-519, May.
    16. Jayant V Ganguli & Scott Condie, 2008. "Ambiguity and rational expectations equilibria," 2008 Meeting Papers 719, Society for Economic Dynamics.
    17. Luciano I. de Castro & Marialaura Pesce & Nicholas C. Yannelis, 2013. "A New Perspective on Rational Expectations," Economics Discussion Paper Series 1316, Economics, The University of Manchester.
    18. Rehse, Dominik & Riordan, Ryan & Rottke, Nico & Zietz, Joachim, 2018. "The effects of uncertainty on market liquidity: Evidence from Hurricane Sandy," ZEW Discussion Papers 18-024, ZEW - Leibniz Centre for European Economic Research.
    19. Nihad Aliyev, 2019. "Financial Markets with Multidimensional Uncertainty," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2019.
    20. Maria Näther, 2019. "The effect of the central bank’s standing facilities on interbank lending and bank liquidity holding," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 68(3), pages 537-577, October.
    21. Jack Stecher & Radhika Lunawat & Kira Pronin & John Dickhaut, 2007. "Decision Making and Trade without Probabilities," CIRANO Working Papers 2007s-21, CIRANO.
    22. Vitale, Paolo, 2018. "Robust trading for ambiguity-averse insiders," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 113-130.
    23. Xiaojuan Hu & Cheng-Zhong Qin, 2013. "Information acquisition and welfare effect in a model of competitive financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 54(1), pages 199-210, September.
    24. Lombardi, Michele & Yoshihara, Naoki & 吉原, 直毅 & ヨシハラ, ナオキ, 2011. "A Full Characterization of Nash Implementation with Strategy Space Reduction," Discussion Paper Series a548, Institute of Economic Research, Hitotsubashi University.
    25. Bhowmik, Anuj & Cao, Jiling, 2011. "On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces," MPRA Paper 35060, University Library of Munich, Germany, revised 28 Nov 2011.
    26. Scott Condie & Jayant Ganguli, 2011. "Informational efficiency with ambiguous information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 229-242, October.
    27. Gonçalo Faria & João Correia-da-Silva, 2012. "The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices," Annals of Finance, Springer, vol. 8(4), pages 507-531, November.
    28. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2015.
    29. Bhowmik, Anuj & Cao, Jiling, 2013. "Robust efficiency in mixed economies with asymmetric information," Journal of Mathematical Economics, Elsevier, vol. 49(1), pages 49-57.
    30. M. Peiris & Alexandros Vardoulakis, 2013. "Savings and default," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 54(1), pages 153-180, September.
    31. Koziol, Christian & Proelss, Juliane & Roßmann, Philipp & Schweizer, Denis, 2022. "The price of being green," Finance Research Letters, Elsevier, vol. 50(C).
    32. Alain Chateauneuf & Luciano De Castro, 2011. "Ambiguity Aversion and Absence of Trade," Discussion Papers 1535, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    33. Aliyev, Nihad & He, Xue-Zhong, 2023. "Ambiguous price formation," Journal of Mathematical Economics, Elsevier, vol. 106(C).
    34. Luciano Castro & Marialaura Pesce & Nicholas Yannelis, 2011. "Core and equilibria under ambiguity," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 519-548, October.
    35. Li, Qingyuan & Li, Si & Xu, Li, 2018. "National elections and tail risk: International evidence," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 113-128.
    36. Illeditsch, PK & Ganguli, J & Condie, S, 2015. "Information Inertia," Economics Discussion Papers 15615, University of Essex, Department of Economics.
    37. Bhowmik, Anuj & Cao, Jiling, 2012. "Blocking efficiency in an economy with asymmetric information," Journal of Mathematical Economics, Elsevier, vol. 48(6), pages 396-403.
    38. Robert Nau, 2011. "Risk, ambiguity, and state-preference theory," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 437-467, October.
    39. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
    40. Antonio Mele & Francesco Sangiorgi, 2015. "Uncertainty, Information Acquisition, and Price Swings in Asset Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(4), pages 1533-1567.
    41. Condie, Scott & Ganguli, Jayant, 2017. "The pricing effects of ambiguous private information," Journal of Economic Theory, Elsevier, vol. 172(C), pages 512-557.
    42. Eisei Ohtaki & Hiroyuki Ozaki, 2013. "Monetary Equilibria and Knightian Uncertainty," Keio/Kyoto Joint Global COE Discussion Paper Series 2012-032, Keio/Kyoto Joint Global COE Program.
    43. Antonio Mele & Francesco Sangiorgi, 2009. "Ambiguity, Information Acquisition and Price Swings in Asset Markets," FMG Discussion Papers dp633, Financial Markets Group.
    44. Zhou, Tong, 2021. "Ambiguity, asset illiquidity, and price variability," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 280-292.
    45. Nihad Aliyev & Xue-Zhong He, 2017. "Ambiguous Market Making," Research Paper Series 383, Quantitative Finance Research Centre, University of Technology, Sydney.
    46. Junyong He & Helen Hui Huang & Shunming Zhang, 2020. "Ambiguity Aversion, Information Acquisition, and Market Opacity," Annals of Economics and Finance, Society for AEF, vol. 21(2), pages 263-329, November.
    47. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
    48. Ganguli, J & Condie, S & Illeditsch, PK, 2012. "Information Inertia," Economics Discussion Papers 5628, University of Essex, Department of Economics.
    49. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.
    50. Ouzan, Samuel, 2020. "Loss aversion and market crashes," Economic Modelling, Elsevier, vol. 92(C), pages 70-86.
    51. Yongmin Zhang & Shusheng Ding & Meryem Duygun, 2019. "Derivatives pricing with liquidity risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1471-1485, November.
    52. Dang, Man & Puwanenthiren, Premkanth & Thai, Hong An & Mazur, Mieszko & Jones, Edward & Vo, Xuan Vinh, 2021. "Policy uncertainty and seasoned equity offerings methods," International Review of Financial Analysis, Elsevier, vol. 77(C).

  7. Jan Werner, 2009. "Risk and risk aversion when states of nature matter," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 41(2), pages 231-246, November.

    Cited by:

    1. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
    2. Ravi Bansal & Hengjie Ai, 2016. "Macro Announcement Premium and Risk Preferences," 2016 Meeting Papers 715, Society for Economic Dynamics.
    3. Werner, Jan, 2011. "Risk aversion for variational and multiple-prior preferences," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 382-390.
    4. Aurelian DIACONU & Doina AVRAM, 2017. "General Aspects of Risk and Uncertainty in Making Financial – Economic Decisions," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 65(6), pages 40-50, June.
    5. Alexandru Manole & Madalina Anghel & Emilia Stanciu & Alexandru Badiu, 2016. "Analysis models for the financial risk," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(9), pages 73-80, September.

  8. Werner, Jan, 2005. "A simple axiomatization of risk-averse expected utility," Economics Letters, Elsevier, vol. 88(1), pages 73-77, July.

    Cited by:

    1. Mohammed Abdellaoui & Horst Zank, 2023. "Source and rank-dependent utility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(4), pages 949-981, May.
    2. ,, 2013. "Scale-invariant uncertainty-averse preferences and source-dependent constant relative risk aversion," Theoretical Economics, Econometric Society, vol. 8(1), January.
    3. Fan Wang, 2022. "Rank-Dependent Utility Under Multiple Priors," Management Science, INFORMS, vol. 68(11), pages 8166-8183, November.
    4. Stanca, Lorenzo, 2021. "Smooth aggregation of Bayesian experts," Journal of Economic Theory, Elsevier, vol. 196(C).
    5. Jan Werner, 2009. "Risk and risk aversion when states of nature matter," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 41(2), pages 231-246, November.
    6. William Neilson, 2010. "A simplified axiomatic approach to ambiguity aversion," Journal of Risk and Uncertainty, Springer, vol. 41(2), pages 113-124, October.

  9. Kevin Huang & Jan Werner, 2004. "Implementing Arrow-Debreu equilibria by trading infinitely-lived securities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 24(3), pages 603-622, October.
    See citations under working paper version above.
  10. Aliprantis, C. D. & Brown, D. J. & Werner, J., 2000. "Minimum-cost portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1703-1719, October.

    Cited by:

    1. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011. "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3188-3201.
    2. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    3. Vladislav N. Kovalnogov & Ruslan V. Fedorov & Dmitry A. Generalov & Andrey V. Chukalin & Vasilios N. Katsikis & Spyridon D. Mourtas & Theodore E. Simos, 2022. "Portfolio Insurance through Error-Correction Neural Networks," Mathematics, MDPI, vol. 10(18), pages 1-14, September.
    4. Katsikis, Vasilios N. & Mourtas, Spyridon D. & Stanimirović, Predrag S. & Li, Shuai & Cao, Xinwei, 2023. "Time-varying minimum-cost portfolio insurance problem via an adaptive fuzzy-power LVI-PDNN," Applied Mathematics and Computation, Elsevier, vol. 441(C).
    5. Katsikis, Vasilios N. & Mourtas, Spyridon D. & Stanimirović, Predrag S. & Li, Shuai & Cao, Xinwei, 2020. "Time-varying minimum-cost portfolio insurance under transaction costs problem via Beetle Antennae Search Algorithm (BAS)," Applied Mathematics and Computation, Elsevier, vol. 385(C).
    6. Katsikis, Vasilios N. & Mourtas, Spyridon D., 2019. "A heuristic process on the existence of positive bases with applications to minimum-cost portfolio insurance in C[a, b]," Applied Mathematics and Computation, Elsevier, vol. 349(C), pages 221-244.
    7. Polak, George G. & Rogers, David F. & Sweeney, Dennis J., 2010. "Risk management strategies via minimax portfolio optimization," European Journal of Operational Research, Elsevier, vol. 207(1), pages 409-419, November.
    8. Aliprantis, C. D. & Harris, David & Tourky, Rabee, 2004. "Riesz Estimators," Purdue University Economics Working Papers 1170, Purdue University, Department of Economics.
    9. Charalambos D. Aliprantis & Monique Florenzano & Rabee Tourky, 2006. "Production equilibria," Post-Print halshs-00092809, HAL.
    10. Aliprantis, Charalambos D. & Polyrakis, Yiannis A. & Tourky, Rabee, 2002. "The cheapest hedge," Journal of Mathematical Economics, Elsevier, vol. 37(4), pages 269-295, July.
    11. L. Di Persio & I. Oliva. K. Wallbaum, 2019. "Options on CPPI with guaranteed minimum equity exposure," Papers 1902.06505, arXiv.org.
    12. Huang, Kevin X. D., 2002. "On infinite-horizon minimum-cost hedging under cone constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 27(2), pages 283-301, December.
    13. Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
    14. Aliprantis, Charalambos D. & Monteiro, Paulo K. & Tourky, Rabee, 2004. "Non-marketed options, non-existence of equilibria, and non-linear prices," Journal of Economic Theory, Elsevier, vol. 114(2), pages 345-357, February.
    15. Charalambos D. Aliprantis & Monique Florenzano & Rabee Tourky, 2004. "Equilibria in production economies," Cahiers de la Maison des Sciences Economiques b04116, Université Panthéon-Sorbonne (Paris 1).
    16. Vasilios N. Katsikis & Spyridon D. Mourtas, 2020. "ORPIT: A Matlab Toolbox for Option Replication and Portfolio Insurance in Incomplete Markets," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 711-721, December.

  11. Kevin X.D. Huang & Jan Werner, 2000. "Asset price bubbles in Arrow-Debreu and sequential equilibrium," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 15(2), pages 253-278.

    Cited by:

    1. Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2018. "Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints," Post-Print halshs-01223969, HAL.
    2. Bidian, Florin, 2016. "Robust bubbles with mild penalties for default," Journal of Mathematical Economics, Elsevier, vol. 65(C), pages 141-153.
    3. Aloisio Araujo, 2015. "General equilibrium, preferences and financial institutions after the crisis," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 58(2), pages 217-254, February.
    4. Kevin X. D. Huang & Jan Werner, 2002. "Implementing Arrow-Debreu equilibria by trading infinitely-lived securities," Research Working Paper RWP 02-08, Federal Reserve Bank of Kansas City.
    5. Bosi, Stefano & Ha-Huy, Thai & Le Van, Cuong & Pham, Cao-Tung & Pham, Ngoc-Sang, 2018. "Financial bubbles and capital accumulation in altruistic economies," MPRA Paper 84429, University Library of Munich, Germany.
    6. Stefano BOSI & Cuong LE VAN & Ngoc-Sang PHAM, 2016. "Asset bubbles and efficiency in a generalized two-sector model," Documents de recherche 16-04, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    7. Robert Becker & Stefano Bosi & Cuong Le Van & Thomas Seegmuller, 2014. "On existence and bubbles of Ramsey equilibrium with borrowing constraints," Post-Print halshs-01020635, HAL.
    8. Takashi Kamihigashi, 2016. "A Simple No-Bubble Theorem for Deterministic Sequential Economies," Discussion Paper Series DP2016-15, Research Institute for Economics & Business Administration, Kobe University.
    9. Cuong Le Van & Stefano Bosi & Ngoc-Sang Pham, 2017. "Rational land and housing bubbles in infinite-horizon economies," Post-Print halshs-01397606, HAL.
    10. Cuong Le Van & Ngoc-Sang Pham, 2016. "Intertemporal equilibrium with financial asset and physical capital," Post-Print hal-01302382, HAL.
    11. Bejan, Camelia & Bidian, Florin, 2014. "Bubbles and trading in incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 137-144.
    12. Takashi Kamihigashi, 2016. "A Simple Optimality-Based No-Bubble Theorem for Deterministic Sequential Economies," Discussion Paper Series DP2016-22, Research Institute for Economics & Business Administration, Kobe University.
    13. Bosi, Stefano & Le Van, Cuong & Pham, Ngoc-Sang, 2022. "Real indeterminacy and dynamics of asset price bubbles in general equilibrium," Journal of Mathematical Economics, Elsevier, vol. 100(C).
    14. Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2014. "Intertemporal equilibrium with production: bubbles and efficiency," Working Papers 2014-306, Department of Research, Ipag Business School.
    15. Bidian, Florin, 2015. "Portfolio constraints, differences in beliefs and bubbles," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 317-326.
    16. Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2016. "Detecting Money Market Bubbles," Research Paper Series 378, Quantitative Finance Research Centre, University of Technology, Sydney.
    17. Takashi Kamihigashi, 2015. "A Simple No-Bubble Theorem for Deterministic Dynamic Economies," Discussion Paper Series DP2015-24, Research Institute for Economics & Business Administration, Kobe University.
    18. Robert Becker & Stefano Bosi & Cuong Le Van & Thomas Seegmuller, 2015. "On existence and bubbles of Ramsey equilibrium with borrowing constraints," Post-Print hal-01302535, HAL.
    19. Pham, Ngoc-Sang, 2017. "Assets with possibly negative dividends," MPRA Paper 78193, University Library of Munich, Germany.
    20. Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2015. "Intertemporal equilibrium with heterogeneous agents, endogenous dividends and borrowing constraints," Documents de travail du Centre d'Economie de la Sorbonne 15067, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    21. Huang, Kevin X. D., 2002. "On infinite-horizon minimum-cost hedging under cone constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 27(2), pages 283-301, December.
    22. Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2021. "Real indeterminacy and dynamics of asset price bubbles in general equilibrium," Working Papers halshs-02993656, HAL.
    23. Bejan, Camelia & Bidian, Florin, 2010. "Limited enforcement, bubbles and trading in incomplete markets," MPRA Paper 36819, University Library of Munich, Germany, revised 20 Feb 2012.
    24. Bidian, Florin & Bejan, Camelia, 2011. "Martingale properties of self-enforcing debt," MPRA Paper 36609, University Library of Munich, Germany, revised 12 Feb 2012.
    25. Hirano, Tomohiro & Toda, Alexis Akira, 2024. "Bubble economics," LSE Research Online Documents on Economics 122042, London School of Economics and Political Science, LSE Library.
    26. Takashi Kamihigashi, 2015. "A Simple No-Bubble Theorem," Discussion Paper Series DP2015-03, Research Institute for Economics & Business Administration, Kobe University.
    27. Takashi Kamihigashi, 2016. "A Simple Optimality-Based No-Bubble Theorem for Deterministic Sequential Economies with Strictly Monotone Preferences," Discussion Paper Series DP2016-32, Research Institute for Economics & Business Administration, Kobe University, revised Dec 2017.
    28. Jan Werner, 2012. "Rational Asset Pricing Bubbles Revisited," 2012 Meeting Papers 1165, Society for Economic Dynamics.
    29. Stephen F. LeRoy, 2012. "Infinite Portfolio Strategies," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 6(4), December.
    30. Werner, Jan, 2014. "Rational asset pricing bubbles and debt constraints," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 145-152.

  12. Aliprantis, C. D. & Brown, D. J. & Polyrakis, I. A. & Werner, J., 1998. "Portfolio dominance and optimality in infinite security markets," Journal of Mathematical Economics, Elsevier, vol. 30(3), pages 347-366, October.

    Cited by:

    1. Aliprantis, Charalambos D. & Florenzano, Monique & Tourky, Rabee, 2005. "Linear and non-linear price decentralization," Journal of Economic Theory, Elsevier, vol. 121(1), pages 51-74, March.
    2. Allouch, N. & Florenzano, M., 2000. "Edgeworth and Walras Equilibria of an Arbitrage-Free Exchange Economy," Papiers d'Economie Mathématique et Applications 2000.119, Université Panthéon-Sorbonne (Paris 1).
    3. Charalambos D. Aliprantis & Monique Florenzano & Rabee Tourky, 2004. "General equilibrium analysis in ordered topological vector spaces," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00086791, HAL.
    4. Roko Aliprantis & Monique Florenzano & Daniella Puzzello & Rabee Tourky, 2006. "The wedge of arbitrage free prices: anything goes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00112202, HAL.
    5. Bloise, Gaetano & Calciano, Filippo L., 2007. "A Characterization of Inefficiency in Stochastic Overlapping Generations Economies," MPRA Paper 8780, University Library of Munich, Germany.
    6. Rose-Anne Dana, 2011. "Comonotonicity, Efficient Risk-sharing and Equilibria in markets with short-selling for concave law-invariant utilities," Post-Print hal-00655172, HAL.
    7. Aliprantis, C. D. & Harris, David & Tourky, Rabee, 2004. "Riesz Estimators," Purdue University Economics Working Papers 1170, Purdue University, Department of Economics.
    8. Aliprantis, C. D. & Florenzano, M. & Martins-da-Rocha, V. F. & Tourky, R., 2004. "Equilibrium analysis in financial markets with countably many securities," Journal of Mathematical Economics, Elsevier, vol. 40(6), pages 683-699, September.
    9. Charalambos Aliprantis & Rabee Tourky, 2009. "Equilibria in incomplete assets economies with infinite dimensional spot markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 38(2), pages 221-262, February.
    10. Allouch, Nizar, 2002. "An equilibrium existence result with short selling," Journal of Mathematical Economics, Elsevier, vol. 37(2), pages 81-94, April.
    11. Aliprantis, C. D. & Brown, D. J. & Werner, J., 2000. "Minimum-cost portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1703-1719, October.
    12. Charalambos D. Aliprantis & Monique Florenzano & Rabee Tourky, 2004. "Equilibria in production economies," Cahiers de la Maison des Sciences Economiques b04116, Université Panthéon-Sorbonne (Paris 1).

  13. Werner, Jan, 1997. "Diversification and Equilibrium in Securities Markets," Journal of Economic Theory, Elsevier, vol. 75(1), pages 89-103, July.

    Cited by:

    1. Aloisio Araujo & Alain Chateauneuf & José Heleno Faro, 2018. "Financial market structures revealed by pricing rules: Efficient complete markets are prevalent," PSE-Ecole d'économie de Paris (Postprint) hal-03252242, HAL.
    2. Mukerji, S. & Tallon, J.-M., 1999. "Ambiguity Aversion and Incompleteness of Financial Markets," Papiers d'Economie Mathématique et Applications 1999-28, Université Panthéon-Sorbonne (Paris 1).
    3. Khan, A. & Sun, Y., 2000. "Asymptotic Arbitrage and the APT with or Without Measure-Theoretic Structures," Papiers d'Economie Mathématique et Applications 2000.81, Université Panthéon-Sorbonne (Paris 1).
    4. Brown, Murray & Chiang, Shin-Hwan, 2002. "Unsystematic risk and coalition formation in product markets," International Journal of Industrial Organization, Elsevier, vol. 20(3), pages 313-338, March.
    5. M Ali Khan & Yeneng Sun, 2002. "Exact Arbitrage Well-Diversified Potfolios and Asset Pricing in Large Markets," Economics Working Paper Archive 483, The Johns Hopkins University,Department of Economics.
    6. Takashi Kamihigashi & John Stachurski, 2014. "Partial Stochastic Dominance," Discussion Paper Series DP2014-23, Research Institute for Economics & Business Administration, Kobe University.
    7. Al-Najjar, Nabil I., 1998. "Factor Analysis and Arbitrage Pricing in Large Asset Economies," Journal of Economic Theory, Elsevier, vol. 78(2), pages 231-262, February.
    8. Al-Najjar, Nabil I., 2004. "Aggregation and the law of large numbers in large economies," Games and Economic Behavior, Elsevier, vol. 47(1), pages 1-35, April.
    9. Aliprantis, C. D. & Brown, D. J. & Polyrakis, I. A. & Werner, J., 1998. "Portfolio dominance and optimality in infinite security markets," Journal of Mathematical Economics, Elsevier, vol. 30(3), pages 347-366, October.

  14. Werner, Jan, 1997. "Arbitrage, Bubbles, and Valuation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(2), pages 453-464, May.
    See citations under working paper version above.
  15. Donald J. Brown & Jan Werner, 1995. "Arbitrage and Existence of Equilibrium in Infinite Asset Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 62(1), pages 101-114.
    See citations under working paper version above.
  16. Wang, Zhenyu & Werner, Jan, 1994. "Portfolio characterization of risk aversion," Economics Letters, Elsevier, vol. 45(2), pages 259-265, June.

    Cited by:

    1. Thomas M. Eisenbach & Martin C. Schmalz, 2013. "Anxiety in the face of risk," Staff Reports 610, Federal Reserve Bank of New York.

  17. Werner, Jan, 1991. "On Constrained Optimal Allocations with Incomplete Markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 1(2), pages 205-209, April.

    Cited by:

    1. Mendolicchio, C. & Pietra, T., 2019. "A re-examination of constrained Pareto inefficiency in economies with incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 80(C), pages 39-55.
    2. Tirelli, Mario, 2008. "Constrained inefficiency in GEI: A geometric argument," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1197-1214, December.
    3. Nagata, Ryo, 2005. "Inefficiency of equilibria with incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 41(7), pages 887-897, November.
    4. Zierhut, Michael, 2019. "Nonexistence of constrained efficient production plans," Journal of Mathematical Economics, Elsevier, vol. 83(C), pages 127-136.
    5. Wan-hsiang Pan, 1995. "A second welfare theorem for constrained efficient allocations in incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 24(6), pages 577-599.

  18. Krasa, Stefan & Werner, Jan, 1991. "Equilibria with options: Existence and indeterminacy," Journal of Economic Theory, Elsevier, vol. 54(2), pages 305-320, August.

    Cited by:

    1. Bowman, David & Faust, Jon, 1997. "Options, Sunspots, and the Creation of Uncertainty," Journal of Political Economy, University of Chicago Press, vol. 105(5), pages 957-975, October.
    2. HERINGS, Jean-Jacques & POLEMARCHAKIS, Heracles, 2000. "Equilibrium and arbitrage in incomplete asset markets with fixed prices," LIDAM Discussion Papers CORE 2000026, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Shurojit Chatterji & Atsushi Kajii, 2023. "On the Welfare Role of Redundant Assets with Heterogeneous Forecasts," Working Papers on Central Bank Communication 046, University of Tokyo, Graduate School of Economics.

  19. Werner, Jan, 1990. "Structure of financial markets and real indeterminacy of equilibria," Journal of Mathematical Economics, Elsevier, vol. 19(1-2), pages 217-232.

    Cited by:

    1. Nagata, Ryo, 1998. "The degree of indeterminacy of equilibria with incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 29(1), pages 109-123, January.
    2. Zhang, S. M., 1996. "Extension of Stiemke's lemma and equilibrium in economies with infinite-dimensional commodity space and incomplete financial markets," Journal of Mathematical Economics, Elsevier, vol. 26(2), pages 249-268.
    3. Jean-Marc Tallon, 1995. "Théorie de l'équilibre général avec marchés financiers incomplets," Post-Print halshs-00502526, HAL.
    4. Donati, Paola & Momi, Takeshi, 2003. "Indeterminacy of rational expectations equilibria in sequential financial markets," Journal of Mathematical Economics, Elsevier, vol. 39(7), pages 743-762, September.
    5. SALTO, Matteo, 1998. "Indeterminacy of equilibrium allocations in monetary open economies," LIDAM Discussion Papers CORE 1998062, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    6. Michael Zierhut, 2021. "Indeterminacy of Cournot–Walras equilibrium with incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(1), pages 81-114, February.

  20. Werner, Jan, 1989. "Equilibrium with incomplete markets without ordered preferences," Journal of Economic Theory, Elsevier, vol. 49(2), pages 379-382, December.

    Cited by:

    1. Bernard Cornet & Abhishek Ranjan, 2013. "Equilibria in a multi-period economy," Documents de travail du Centre d'Economie de la Sorbonne 13021, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    2. Bernard Cornet & Abhishek Ranjan, 2013. "Existence of equilibria via quasi-equilibria," Post-Print halshs-00801399, HAL.
    3. Kelsey, David & Yalcin, Erkan, 2007. "The arbitrage pricing theorem with incomplete preferences," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 90-105, July.
    4. Charalambos Aliprantis & Rabee Tourky, 2009. "Equilibria in incomplete assets economies with infinite dimensional spot markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 38(2), pages 221-262, February.
    5. Laura Angeloni & Bernard Cornet, 2006. "Existence of financial equilibria in a multiperiod stochastic economy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00287671, HAL.
    6. Florenzano, Monique & Gourdel, Pascal, 1993. "T-period economies with incomplete markets," CEPREMAP Working Papers (Couverture Orange) 9312, CEPREMAP.

  21. Werner, Jan, 1987. "Arbitrage and the Existence of Competitive Equilibrium," Econometrica, Econometric Society, vol. 55(6), pages 1403-1418, November.

    Cited by:

    1. Thai Ha Huy & Cuong Le Van & Manh Hung Nguyen, 2014. "Arbitrage and asset market equilibrium in infinite dimensional economies with short," Working Papers 2014-100, Department of Research, Ipag Business School.
    2. Chichilnisky, Graciela, 1997. "A topological invariant for competitive markets," Journal of Mathematical Economics, Elsevier, vol. 28(4), pages 445-469, November.
    3. Le Van, Cuong & Page, Frank H., Jr. & Wooders, Myrna H., 2001. "Arbitrage and Equilibrium in Economies with Externalities," Economic Research Papers 269359, University of Warwick - Department of Economics.
    4. Thai Ha-Huy & Cuong Le Van, 2017. "Existence of equilibrium on asset markets with a countably infinite number of states," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02877952, HAL.
    5. Thai Ha-Huy & Cuong Le Van & Nguyen Manh Hung, 2016. "Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01390954, HAL.
    6. Senda Ounaies & Jean-Marc Bonnisseau & Souhail Chebbi, 2019. "Equilibrium of a production economy with non-compact attainable allocations set," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01859163, HAL.
    7. Andrew W. Macpherson, 2024. "Do backrun auctions protect traders?," Papers 2401.08302, arXiv.org.
    8. Erkan Yalcin, 2002. "Existence of Equilibrium in Incomplete Markets with Non-Ordered Preferences," GE, Growth, Math methods 0204002, University Library of Munich, Germany.
    9. Jürgen Eichberger & Klaus Rheinberger & Martin Summer, 2014. "Credit Risk in General Equilibrium," CESifo Working Paper Series 4602, CESifo.
    10. Le Van, Cuong & Truong Xuan, Duc Ha, 2001. "Asset market equilibrium in Lp spaces with separable utilities," Journal of Mathematical Economics, Elsevier, vol. 36(3), pages 241-254, December.
    11. Dana, R.-A. & Le Van, C. & Magnien, F., 1999. "On the Different Notions of Arbitrage and Existence of Equilibrium," Papiers d'Economie Mathématique et Applications 1999.34, Université Panthéon-Sorbonne (Paris 1).
    12. Allouch, Nizar & Le Van, Cuong, 2008. "Walras and dividends equilibrium with possibly satiated consumers," Journal of Mathematical Economics, Elsevier, vol. 44(9-10), pages 907-918, September.
    13. Cuong Le Van & Nguyen Ba Minh, 2004. "No-arbitrage condition and existence of equilibrium with dividends," Cahiers de la Maison des Sciences Economiques b04058, Université Panthéon-Sorbonne (Paris 1).
    14. Cuong Le Van & Frank H. Page & Myrna H. Wooders, 2007. "Risky Arbitrage, Asset Prices, and Externalities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00102698, HAL.
    15. Thai Ha-Huy & Cuong Le Van & Frank Page & Myrna Wooders, 2017. "No-arbitrage and Equilibrium in Finite Dimension: A General Result," Documents de recherche 17-06, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    16. Nizar Allouch & Cuong Le Van & Frank H. Page, 2006. "Arbitrage and equilibrium in unbounded exchange economies with satiation," Post-Print halshs-00096040, HAL.
    17. Stefano Bosi & Pascal Fontaine & Cuong Le Van, 2016. "Interest rates parity and no arbitrage as equivalent equilibrium conditions in the international financial assets and goods markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01302524, HAL.
    18. Nguyen, Manh-Hung & Ha-Huy, Thai, 2010. "No unbounded arbitrage, weak no market arbitrage and no arbitrage price system conditions; Equivalent conditions," Journal of Mathematical Economics, Elsevier, vol. 46(1), pages 128-131, January.
    19. Dana, Rose-Anne, 1999. "Existence, uniqueness and determinacy of equilibrium in C.A.P.M. with a riskless asset," Journal of Mathematical Economics, Elsevier, vol. 32(2), pages 167-175, October.
    20. Allouch, N. & Florenzano, M., 2000. "Edgeworth and Walras Equilibria of an Arbitrage-Free Exchange Economy," Papiers d'Economie Mathématique et Applications 2000.119, Université Panthéon-Sorbonne (Paris 1).
    21. Rose-Anne Dana & Cuong Le Van, 2009. "No-arbitrage, overlapping sets of priors and the existence of efficient allocations and equilibria in the presence of risk and ambiguity," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00281582, HAL.
    22. Martins-da-Rocha, V. Filipe & Monteiro, Paulo K., 2009. "Unbounded exchange economies with satiation: How far can we go?," Journal of Mathematical Economics, Elsevier, vol. 45(7-8), pages 465-478, July.
    23. Dana, Rose-Anne & Le Van, Cuong, 1996. "Arbitrage, duality and asset equilibria," CEPREMAP Working Papers (Couverture Orange) 9613, CEPREMAP.
    24. Won, Dong Chul & Yannelis, Nicholas C., 2008. "Equilibrium theory with unbounded consumption sets and non-ordered preferences: Part I. Non-satiation," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1266-1283, December.
    25. Allouch, Nizar & Le Van, Cuong & Page, Frank H., Jr., 2002. "Arbitrage, Equilibrium, and Nonsatiation," Economic Research Papers 269411, University of Warwick - Department of Economics.
    26. Hirbod Assa & Keivan Mallahi Karai, 2013. "Hedging, Pareto Optimality, and Good Deals," Journal of Optimization Theory and Applications, Springer, vol. 157(3), pages 900-917, June.
    27. Rose-Anne Dana, 2011. "Comonotonicity, Efficient Risk-sharing and Equilibria in markets with short-selling for concave law-invariant utilities," Post-Print hal-00655172, HAL.
    28. Rose-Anne Dana & Cuong Le Van, 2010. "Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures," Post-Print halshs-00308530, HAL.
    29. Won, Dong Chul & Yannelis, Nicholas C., 2011. "Equilibrium theory with satiable and non-ordered preferences," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 245-250, March.
    30. Cuong Le Van & Nguyen Ba Minh, 2007. "No-arbitrage condition and existence of equilibrium with dividends," Post-Print halshs-00101177, HAL.
    31. Chichilnisky, Graciela, 1996. "Markets and games: a simple equivalence among the core, equilibrium and limited arbitrage," MPRA Paper 8492, University Library of Munich, Germany.
    32. Enrico De Giorgi & Thorsten Hens & Marc Oliver Rieger, 2007. "Financial Market Equilibria With Cumulative Prospect Therory," Swiss Finance Institute Research Paper Series 07-21, Swiss Finance Institute, revised Aug 2007.
    33. Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2013. "Equilibrium existence in the international asset and good markets," Working Papers 2013-3, Department of Research, Ipag Business School.
    34. Allouch, Nizar, 2001. "A note on two notions of arbitrage," Economic Research Papers 269397, University of Warwick - Department of Economics.
    35. Charalambos Aliprantis & Kim Border & Owen Burkinshaw, 1996. "Market economies with many commodities," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 19(1), pages 113-185, March.
    36. Makowski, Louis & Ostroy, Joseph M., 1998. "Arbitrage and the Flattening Effect of Large Numbers," Journal of Economic Theory, Elsevier, vol. 78(1), pages 1-31, January.
    37. Allouch, Nizar & Le Van, Cuong & Page, Jr. Frank H., 2001. "The geometry of arbitrage and the existence of competitive equilibrium," The Warwick Economics Research Paper Series (TWERPS) 598, University of Warwick, Department of Economics.
    38. Thai Ha-Huy & Cuong Le Van, 2012. "Asset market equilibrium with short-selling and a continuum of number of states of nature," Working Papers hal-04132780, HAL.
    39. Page, Frank H., Jr. & Wooders, Myrna H. & Monteiro, Paulo K., 1999. "Inconsequential arbitrage," Economic Research Papers 269332, University of Warwick - Department of Economics.
    40. Danilov, Vladimir & Koshovoy, Gleb & Page, Frank & Wooders, Myrna, 2011. "Existence of equilibrium with unbounded short sales: A new approach," MPRA Paper 37778, University Library of Munich, Germany, revised Mar 2012.
    41. Senda Ounaies & Jean-Marc Bonnisseau & Souhail Chebbi, 2016. "Equilibrium of a production economy with unbounded attainable allocations set," Documents de travail du Centre d'Economie de la Sorbonne 16056, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    42. Dana, R.A. & Le Van, C., 2014. "Efficient allocations and equilibria with short-selling and incomplete preferences," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 101-105.
    43. Rose-Anne Dana & Cuong Le Van, 2009. "No-arbitrage, overlapping sets of priors and the existence of efficient allocations and equilibria in the presence of risk and ambiguity," Post-Print halshs-00281582, HAL.
    44. Salvador Cruz Rambaud, 2019. "Algebraic Properties of Arbitrage: An Application to Additivity of Discount Functions," Mathematics, MDPI, vol. 7(9), pages 1-25, September.
    45. W D A Bryant, 2009. "General Equilibrium:Theory and Evidence," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6875.
    46. Zaier Aouani & Bernard Cornet, 2017. "Eliminating useless portfolios in constrained financial economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(1), pages 159-190, January.
    47. Kevin Hoefman & Aaron Bramson & Koen Schoors & Jan Ryckebusch, 2018. "The impact of functional and social value on the price of goods," PLOS ONE, Public Library of Science, vol. 13(11), pages 1-12, November.
    48. Giraud, Gael, 2003. "Strategic market games: an introduction," Journal of Mathematical Economics, Elsevier, vol. 39(5-6), pages 355-375, July.
    49. Kelsey, David & Yalcin, Erkan, 2007. "The arbitrage pricing theorem with incomplete preferences," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 90-105, July.
    50. Page, Frank Jr., 1996. "Arbitrage and asset prices," Mathematical Social Sciences, Elsevier, vol. 31(3), pages 183-208, June.
    51. Burzoni, Matteo & Riedel, Frank & Soner, Halil Mete, 2017. "Viability and arbitrage under Knightian Uncertainty," Center for Mathematical Economics Working Papers 575, Center for Mathematical Economics, Bielefeld University.
    52. Agnieszka Lipieta & Ilona Ćwięczek, 2022. "Mechanisms leading to equilibrium in economy with financial market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4166-4182, October.
    53. Clark, Stephen A., 2000. "Arbitrage approximation theory," Journal of Mathematical Economics, Elsevier, vol. 33(2), pages 167-181, March.
    54. Dana, R. A. & Le Van, C., 1996. "Asset Equilibria in Lp spaces with complete markets: A duality approach," Journal of Mathematical Economics, Elsevier, vol. 25(3), pages 263-280.
    55. Norihisa Sato, 2008. "Some sufficient conditions for the existence of a competitive equilibrium in economies with satiated consumers," Economics Bulletin, AccessEcon, vol. 3(73), pages 1-8.
    56. Joseph M. Ostroy, 1995. "Arbitrage of the Flattening Effect of Large Numbers," UCLA Economics Working Papers 737, UCLA Department of Economics.
    57. Rose-Anne Dana & Cuong Le Van, 2010. "Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00470670, HAL.
    58. Page Jr., Frank H. & Wooders, Myrna Holtz, 1996. "A necessary and sufficient condition for the compactness of individually rational and feasible outcomes and the existence of an equilibrium," Economics Letters, Elsevier, vol. 52(2), pages 153-162, August.
    59. Manh-Hung Nguyen & Thai Ha-Huy, 2008. "No Unbounded Arbitrage, Weak No Market Arbitrage and No Arbitrage Price System Conditions: The Circular Results," Working Papers 04, Development and Policies Research Center (DEPOCEN), Vietnam.
    60. Aliprantis, C. D. & Brown, D. J. & Polyrakis, I. A. & Werner, J., 1998. "Portfolio dominance and optimality in infinite security markets," Journal of Mathematical Economics, Elsevier, vol. 30(3), pages 347-366, October.
    61. Allouch, Nizar, 2001. "A note on two notions of arbitrage," The Warwick Economics Research Paper Series (TWERPS) 623, University of Warwick, Department of Economics.
    62. Thai Ha-Huy & Cuong Le Van & Cuong Tran-Viet, 2018. "Arbitrage and equilibrium in economies with short-selling and ambiguity," Post-Print hal-02877948, HAL.
    63. Ha-Huy, Thai & Le Van, Cuong & Nguyen, Manh-Hung, 2011. "Arbitrage and asset market equilibrium in infinite dimensional economies with risk-averse expected utilities," LERNA Working Papers 11.12.346, LERNA, University of Toulouse.
    64. Wassim Daher & V. Filipe Martins-Da-Rocha & Yiannis Vailakis, 2005. "Asset market equilibrium with short-selling and differential information," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00173787, HAL.
    65. Rose-Anne Dana & Cuong Le Van, 2010. "Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling," PSE-Ecole d'économie de Paris (Postprint) halshs-00470670, HAL.
    66. Jean Pietro Bonaldi Varón, 2008. "Existence of Equilibrium in Financial Markets: Hart´s Securities Exchange Model with Consumption in the First Period," Documentos CEDE 6711, Universidad de los Andes, Facultad de Economía, CEDE.
    67. Nicola Acocella & Giovanni Di Bartolomeo, 2010. "Conflict of interest and coordination in public good provision," Politica economica, Società editrice il Mulino, issue 3, pages 389-408.
    68. Rose-Anne Dana & Cuong Le Van, 2014. "Efficient allocations and Equilibria with short-selling and Incomplete Preferences," Post-Print halshs-01020646, HAL.
    69. Geoffrey Heal, 2017. "Price Uncertainty and Price-Contingent Securities," NBER Working Papers 23723, National Bureau of Economic Research, Inc.
    70. Rose-Anne Dana & Cuong Le Van, 2010. "Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures," PSE-Ecole d'économie de Paris (Postprint) halshs-00308530, HAL.
    71. Monteiro, Paulo K. & Page, Frank Jr. & Wooders, Myrna Holtz, 1997. "Arbitrage, equilibrium, and gains from trade: A counterexample," Journal of Mathematical Economics, Elsevier, vol. 28(4), pages 481-501, November.
    72. Rose-Anne Dana & Cuong Le Van, 2007. "Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures," Post-Print halshs-00188761, HAL.
    73. D. Won & G. Hahn & N. Yannelis, 2008. "Capital market equilibrium without riskless assets: heterogeneous expectations," Annals of Finance, Springer, vol. 4(2), pages 183-195, March.
    74. Allouch, Nizar, 2002. "An equilibrium existence result with short selling," Journal of Mathematical Economics, Elsevier, vol. 37(2), pages 81-94, April.
    75. Ruscitti, Francesco, 2012. "On the boundary behavior of the excess demand function," Research in Economics, Elsevier, vol. 66(4), pages 371-374.
    76. Page Jr., Frank H. & Wooders, Myrna Holtz, 1996. "The Partnered Core of an Economy and the Partnered Competitive Equilibrium," Economics Letters, Elsevier, vol. 52(2), pages 143-152, August.
    77. Tim J. Boonen & Fangda Liu & Ruodu Wang, 2021. "Competitive equilibria in a comonotone market," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 72(4), pages 1217-1255, November.
    78. Yoshimoto, Hisayuki & Nakabayashi, Jun, 2019. "Search and resale frictions in a two-sided online platform: A case of multi-use assets," Journal of Economic Behavior & Organization, Elsevier, vol. 162(C), pages 85-105.
    79. Sato Norihisa, 2010. "Existence of Competitive Equilibrium in Unbounded Exchange Economies with Satiation: A Note," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 10(1), pages 1-22, July.
    80. Sato, Norihisa, 2010. "Satiation and existence of competitive equilibrium," Journal of Mathematical Economics, Elsevier, vol. 46(4), pages 534-551, July.
    81. Patrice Fontaine & Cuong Le Van, 2010. "Equilibrium on International Assets and Goods Markets," Post-Print halshs-00523364, HAL.
    82. Thai Ha-Huy & Cuong Le Van & Myrna Wooders, 2023. "Necessary and Sufficient Condition for the Existence of Equilibrium in Finite Dimensional Asset Markets with Short-Selling and Preferences with Half-Lines," Working Papers hal-04131008, HAL.
    83. Chichilnisky, Graciela, 1996. "Limited arbitrage is necessary and sufficient for the non-emptiness of the core," Economics Letters, Elsevier, vol. 52(2), pages 177-180, August.
    84. Rose-Anne Dana & Cuong Le Van, 2010. "Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling," Post-Print halshs-00470670, HAL.
    85. Paul Oslington, 2012. "General Equilibrium: Theory and Evidence," The Economic Record, The Economic Society of Australia, vol. 88(282), pages 446-448, September.
    86. Dana, R.-A., 2011. "Comonotonicity, efficient risk-sharing and equilibria in markets with short-selling for concave law-invariant utilities," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 328-335.
    87. Cornet, Bernard & De Boisdeffre, Lionel, 2002. "Arbitrage and price revelation with asymmetric information and incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 38(4), pages 393-410, December.
    88. Gao, Feng & Song, Fengming & Zhang, Lihong, 2007. "Coherent risk measure, equilibrium and equilibrium pricing," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 85-94, January.

  22. Werner, Jan, 1985. "Equilibrium in economies with incomplete financial markets," Journal of Economic Theory, Elsevier, vol. 36(1), pages 110-119, June.

    Cited by:

    1. Monique Florenzano, 1999. "General equilibrium of financial markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00085543, HAL.
    2. Bernard Cornet & Abhishek Ranjan, 2013. "Equilibria in a multi-period economy," Documents de travail du Centre d'Economie de la Sorbonne 13021, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    3. Mas-Colell, Andreu & Zame, William R., 1996. "The existence of security market equilibrium with a non-atomic state space," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 63-84.
    4. De Waegenaere, A.M.B. & Kast, R. & Lapied, A., 1996. "Non-Linear Asset Valuation on Markets with Frictions," Other publications TiSEM 0df3c1bd-04a4-450b-bf18-e, Tilburg University, School of Economics and Management.
    5. Zaier Aouani & Bernard Cornet, 2011. "Reduced equivalent form of a financial structure," Post-Print hal-00629785, HAL.
    6. Bernard Cornet & Ramu Gopalan, 2010. "Arbitrage and equilibrium with portfolio constraints," Post-Print hal-00629777, HAL.
    7. Monteiro, Paulo Klinger, 1996. "A new proof of the existence of equilibrium in incomplete market economies," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 85-101.
    8. Enrique L. Kawamura, 2002. "Competitive Equilibrium with Unawareness in Economies with Production," Working Papers 45, Universidad de San Andres, Departamento de Economia, revised Apr 2002.
    9. Charles Z. Zheng, 2014. "Existence of Monotone Equilibria in First-Price Auctions with Resale," University of Western Ontario, Economic Policy Research Institute Working Papers 20141, University of Western Ontario, Economic Policy Research Institute.
    10. HERINGS, Jean-Jacques & POLEMARCHAKIS, Heracles, 2000. "Equilibrium and arbitrage in incomplete asset markets with fixed prices," LIDAM Discussion Papers CORE 2000026, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    11. Marta Faias, 2004. "General equilibrium and endogenous creation of asset markets," Nova SBE Working Paper Series wp454, Universidade Nova de Lisboa, Nova School of Business and Economics.
    12. M. Salto & T. Pietra, 2013. "Welfare and excess volatility of exchange rates," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 52(2), pages 501-529, March.
    13. Hui Huang & Yi Wang & Yiming Wang & John Whalley & Shunming Zhang, 2005. "A Trade Model with an Optimal Exchange Rate Motivated by Current Discussion of a Chinese Renminbi Float," CESifo Working Paper Series 1471, CESifo.
    14. Philippe Bich & Bernard Cornet, 2009. "Existence of pseudo-equilibria in a financial economy," Post-Print hal-00629764, HAL.
    15. Guangsug Hahn & Dong Chul Won, 2007. "Equilibrium in Financial Markets with Market Frictions," Korean Economic Review, Korean Economic Association, vol. 23, pages 267-302.
    16. Levine, David K., 1989. "Infinite horizon equilibrium with incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 18(4), pages 357-376, September.
    17. Gourdel & Triki, 2005. "Monetary Policy with Incomplete Markets," Finance 0503026, University Library of Munich, Germany.
    18. Bai, Jinhui H. & Schwarz, Ingolf, 2006. "Monetary equilibria in a cash-in-advance economy with incomplete financial markets," Journal of Mathematical Economics, Elsevier, vol. 42(4-5), pages 422-451, August.
    19. Aouani, Zaier & Cornet, Bernard, 2009. "Existence of financial equilibria with restricted participation," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 772-786, December.
    20. Cass, David, 2006. "Musings on the Cass trick," Journal of Mathematical Economics, Elsevier, vol. 42(4-5), pages 374-383, August.
    21. Zame, William R, 1993. "Efficiency and the Role of Default When Security Markets Are Incomplete," American Economic Review, American Economic Association, vol. 83(5), pages 1142-1164, December.
    22. Bernard Cornet & Abhishek Ranjan, 2013. "Existence of equilibria via quasi-equilibria," Post-Print halshs-00801399, HAL.
    23. Ma, Wei, 2015. "A simple method for computing equilibria when asset markets are incomplete," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 32-38.
    24. Alberto Bisin & Piero Gottardi, 2003. "Competitive Markets for Non-Exclusive Contracts with Adverse Selection: the Role of Entry Fees," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(2), pages 313-338, April.
    25. Elul, Ronel, 1997. "Financial innovation, precautionary saving and the risk-free rate," Journal of Mathematical Economics, Elsevier, vol. 27(1), pages 113-131, February.
    26. John Geanakoplos & Heracles M. Polemarchakis, 1985. "Existence, Regularity, and Constrained Suboptimality of Competitive Allocations When the Asset Market Is Incomplete," Cowles Foundation Discussion Papers 764, Cowles Foundation for Research in Economics, Yale University.
    27. De Waegenaere, Anja & Kast, Robert & Lapied, Andre, 2003. "Choquet pricing and equilibrium," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 359-370, July.
    28. Wei Ma, 2014. "A Simple Method for Computing Equilibria when Asset Markets Are Incomplete," Working Papers 201478, University of Pretoria, Department of Economics.
    29. Bhattacharya, Joydeep & Guzman, Mark G. & Shell, Karl, 2009. "Price Level Volatility: A Simple Model of Money Taxes and Sunspots," Staff General Research Papers Archive 5167, Iowa State University, Department of Economics.
    30. V.F. Martins-da-Rocha & L. Triki, 2005. "Equilibria in exchange economies with financial constraints: Beyond the Cass Trick," Microeconomics 0503013, University Library of Munich, Germany.
    31. Hui Huang & John Whalley & Shunming Zhang, 2009. "Exploring policy options in joint intertemporal-spatial trade models using an incomplete markets approach," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 41(1), pages 131-145, October.
    32. Nagata, Ryo, 2005. "Inefficiency of equilibria with incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 41(7), pages 887-897, November.
    33. Stahn, Hubert, 1998. "On monopolistic equilibria with incomplete markets: the case of an exchange economy," Journal of Mathematical Economics, Elsevier, vol. 29(1), pages 83-107, January.
    34. Ma, Chenghu & Hu, Jianqiang & Xu, Yifan, 2018. "Margins on short sales and equilibrium price indeterminacy," Journal of Mathematical Economics, Elsevier, vol. 74(C), pages 79-92.
    35. Hellwig, Martin, 1996. "Rational expectations equilibria in sequence economies with symmetric information: The two-period case," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 9-49.
    36. Charalambos Aliprantis & Rabee Tourky, 2009. "Equilibria in incomplete assets economies with infinite dimensional spot markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 38(2), pages 221-262, February.
    37. Pérez Fernández, Víctor & Torres-Martínez, Juan Pablo, 2012. "Incomplete financial participation: exclusive markets, investment clubs and credit risk," MPRA Paper 36624, University Library of Munich, Germany.
    38. Jaime Jose Orrillo Carhuajulca, 2000. "Default and Exogenous Collateral in Incomplete Markets with a Continuum of States," Econometric Society World Congress 2000 Contributed Papers 1860, Econometric Society.
    39. John Geanakoplos & Andreu Mas-Colell, 1985. "Real Indeterminacy with Financial Assets," Cowles Foundation Discussion Papers 770R, Cowles Foundation for Research in Economics, Yale University, revised Oct 1985.
    40. Fratini, Saverio M. & Levrero, Enrico Sergio & Ravagnani, Fabio, 2016. "Price expectations in neo-Walrasian equilibrium models: an overview," MPRA Paper 69515, University Library of Munich, Germany.
    41. Zhang, S. M., 1996. "Extension of Stiemke's lemma and equilibrium in economies with infinite-dimensional commodity space and incomplete financial markets," Journal of Mathematical Economics, Elsevier, vol. 26(2), pages 249-268.
    42. Ning Sun & Zaifu Yang, 2003. "Existence of Equilibrium and Zero-Beta Pricing Formula in the Capital Asset Pricing Model with Heterogeneous Beliefs," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 51-71, May.
    43. Laura Angeloni & Bernard Cornet, 2006. "Existence of financial equilibria in a multiperiod stochastic economy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00287671, HAL.
    44. Orrilo, Jaime, 2006. "Another Proof of the Existence of GEI Equilibrium with Default and Exogenous Collateral," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(1), May.
    45. Jean-Marc Tallon, 1995. "Théorie de l'équilibre général avec marchés financiers incomplets," Post-Print halshs-00502526, HAL.
    46. Mukul Majumdar, 2023. "Roy Radner: A Subtle Theorist," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(3), pages 481-522, September.
    47. John Geanakoplos & Martin Shubik, 1989. "The Capital Asset Pricing Model as a General Equilibrium with Incomplete Markets," Cowles Foundation Discussion Papers 913, Cowles Foundation for Research in Economics, Yale University.
    48. Alberto Bisin & Piero Gottardi, 1998. "Competitive Equilibria with Asymmetric Information," Levine's Working Paper Archive 2062, David K. Levine.
    49. Maria Bernadette Donato & Monica Milasi & Antonio Villanacci, 2018. "Variational Formulation of a General Equilibrium Model with Incomplete Financial Markets and Numeraire Assets: Existence," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 425-451, November.
    50. Mas-Colell, Andreu & Monteiro, Paulo K., 1996. "Self-fulfilling equilibria: An existence theorem for a general state space," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 51-62.
    51. Busch, Lutz-Alexander & Govindan, Srihari, 2004. "Robust nonexistence of equilibrium with incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 40(6), pages 641-645, September.
    52. Chambers, Robert G. & Färe, Rolf, 2011. "Efficiency analysis, shortage functions, arbitrage, and martingales," European Journal of Operational Research, Elsevier, vol. 213(1), pages 349-358, August.
    53. Huang Helen Hui & Wang Hui & Wei Zexin & Xia Jiawei & Zhang Shunming, 2021. "Restrictions of the Islamic Financial System and Counterpart Financial Support for Xinjiang," Journal of Systems Science and Information, De Gruyter, vol. 9(2), pages 105-130, April.
    54. Hui Huang & John Whalley & Shunming Zhang, 2005. "Trade Liberalization in a Joint Spatial Inter-Temporal Trade Model," CESifo Working Paper Series 1463, CESifo.
    55. Abdelkrim Seghir & Leila Triki & Stella Kanellopoulou, 2004. "On the survival and irreducibility assumptions for financial markets with nominal assets," Cahiers de la Maison des Sciences Economiques b04008, Université Panthéon-Sorbonne (Paris 1).
    56. Pascal Gourdel & Leila Triki, 2005. "Incomplete markets and monetary policy," Cahiers de la Maison des Sciences Economiques b05024, Université Panthéon-Sorbonne (Paris 1).
    57. Florenzano, Monique & Gourdel, Pascal, 1993. "T-period economies with incomplete markets," CEPREMAP Working Papers (Couverture Orange) 9312, CEPREMAP.
    58. Maria Bernadette Donato & Monica Milasi & Antonio Villanacci, 2022. "Restricted Participation on Financial Markets: A General Equilibrium Approach Using Variational Inequality Methods," Networks and Spatial Economics, Springer, vol. 22(2), pages 327-359, June.
    59. Younes Yves, 1986. "Competitive equilibrium for incomplete market structures," CEPREMAP Working Papers (Couverture Orange) 8623, CEPREMAP.
    60. Chambers, Robert G., 2006. "Some Empirical Implications of State-Contingent Production Models," 2006 Conference (50th), February 8-10, 2006, Sydney, Australia 137789, Australian Agricultural and Resource Economics Society.
    61. Wettstein, David, 1995. "Incentives and competitive allocations in exchange economies with incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 24(3), pages 201-216.
    62. Florig, Michael & Meddeb, Moncef, 2007. "Slack in incomplete markets with nominal assets: A symmetric proof," Journal of Mathematical Economics, Elsevier, vol. 43(5), pages 640-655, June.
    63. A. Jofré & R. T. Rockafellar & R. J-B. Wets, 2017. "General economic equilibrium with financial markets and retainability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(1), pages 309-345, January.
    64. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.

Books

  1. LeRoy,Stephen F. & Werner,Jan, 2014. "Principles of Financial Economics," Cambridge Books, Cambridge University Press, number 9781107673021.

    Cited by:

    1. Alan Beggs, 2021. "Afriat and arbitrage," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 9(2), pages 167-176, October.
    2. Takao Asano & Takuji Arai & Katsumasa Nishide, 2017. "Optimal Initial Capital Induced by the Optimized Certainty Equivalent," KIER Working Papers 981, Kyoto University, Institute of Economic Research.
    3. Werner, Jan, 2022. "Speculative trade under ambiguity," Journal of Economic Theory, Elsevier, vol. 199(C).
    4. Takashi Kamihigashi, 2016. "A Simple No-Bubble Theorem for Deterministic Sequential Economies," Discussion Paper Series DP2016-15, Research Institute for Economics & Business Administration, Kobe University.
    5. Koch-Medina, Pablo & Wenzelburger, Jan, 2018. "Equilibria in the CAPM with non-tradeable endowments," Journal of Mathematical Economics, Elsevier, vol. 75(C), pages 93-107.
    6. Johannes Gierlinger & Pau Milán, 2021. "The Limits to Local Insurance," Working Papers 1293, Barcelona School of Economics.
    7. Chambers, Robert G. & Melkonyan, Tigran, 2017. "Ambiguity, reasoned determination, and climate-change policy," Journal of Environmental Economics and Management, Elsevier, vol. 81(C), pages 74-92.
    8. Michael Zierhut, 2016. "Partially revealing rational expectations equilibrium with real assets and binding constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(3), pages 495-516, August.
    9. Takashi Kamihigashi, 2016. "A Simple Optimality-Based No-Bubble Theorem for Deterministic Sequential Economies," Discussion Paper Series DP2016-22, Research Institute for Economics & Business Administration, Kobe University.
    10. Ziping Zhao & Daniel P. Palomar, 2017. "Mean-Reverting Portfolio Design with Budget Constraint," Papers 1701.05016, arXiv.org.
    11. Marc Oliver Bettzüge & Thorsten Hens & Michael Zierhut, 2022. "Financial intermediation and the welfare theorems in incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 457-486, April.
    12. Jan Werner, 2021. "Participation in risk sharing under ambiguity," Theory and Decision, Springer, vol. 90(3), pages 507-519, May.
    13. Salvador Cruz Rambaud, 2019. "Algebraic Properties of Arbitrage: An Application to Additivity of Discount Functions," Mathematics, MDPI, vol. 7(9), pages 1-25, September.
    14. Derek Singh & Shuzhong Zhang, 2021. "Robust Arbitrage Conditions for Financial Markets," SN Operations Research Forum, Springer, vol. 2(3), pages 1-52, September.
    15. Yehuda Izhakian & David Yermack & Jaime F. Zender, 2022. "Ambiguity and the Tradeoff Theory of Capital Structure," Management Science, INFORMS, vol. 68(6), pages 4090-4111, June.
    16. Burzoni, Matteo & Riedel, Frank & Soner, Halil Mete, 2017. "Viability and arbitrage under Knightian Uncertainty," Center for Mathematical Economics Working Papers 575, Center for Mathematical Economics, Bielefeld University.
    17. Bloise, Gaetano & Polemarchakis, Herakles & Vailakis, Yiannis, 2018. "Sustainable Debt," The Warwick Economics Research Paper Series (TWERPS) 1178, University of Warwick, Department of Economics.
    18. Derek Singh & Shuzhong Zhang, 2020. "Robust Arbitrage Conditions for Financial Markets," Papers 2004.09432, arXiv.org.
    19. Viviana Ventre & Roberta Martino, 2022. "Quantification of Aversion to Uncertainty in Intertemporal Choice through Subjective Perception of Time," Mathematics, MDPI, vol. 10(22), pages 1-16, November.
    20. Takashi Kamihigashi, 2016. "A Simple Optimality-Based No-Bubble Theorem for Deterministic Sequential Economies with Strictly Monotone Preferences," Discussion Paper Series DP2016-32, Research Institute for Economics & Business Administration, Kobe University, revised Dec 2017.
    21. Emy Lécuyer & Victor Filipe Martins da Rocha, 2022. "Convex Asset Pricing," Working Papers hal-03916844, HAL.
    22. Jan Werner, 2018. "Speculative Bubbles, Heterogeneopus Beliefs, and Learning," 2018 Meeting Papers 1216, Society for Economic Dynamics.
    23. Rodrigues, Ana Flávia P. & Cavalcante, Charles C. & Crisóstomo, Vicente L., 2019. "A projection pricing model for non-Gaussian financial returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    24. Werner, Jan, 2014. "Rational asset pricing bubbles and debt constraints," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 145-152.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.