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No-arbitrage equilibria with differential information: a proof of existence

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  • Lionel de Boisdeffre

    (CREST-INSEE - Centre de Recherche en Economie et en Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - GENES - Groupe des Écoles Nationales d'Économie et Statistique - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - GENES - Groupe des Écoles Nationales d'Économie et Statistique - IP Paris - Institut Polytechnique de Paris - INSEE - Institut national de la statistique et des études économiques (INSEE), CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

On the example of a pure exchange financial economy with two periods, incomplete markets and differential information of the adverse selection's type, Cornet-De Boisdeffre (2002) introduced refined concepts of price, arbitrage and so-called "no-arbitrage equilibria", which extended to the asymmetric information setting the classical concepts of symmetric information. In this paper, we prove that a no-arbitrage equilibrium exists under the same standard conditions with symmetric and asymmetric information.

Suggested Citation

  • Lionel de Boisdeffre, 2004. "No-arbitrage equilibria with differential information: a proof of existence," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03322655, HAL.
    • Handle: RePEc:hal:cesptp:halshs-03322655
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-03322655v1
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    References listed on IDEAS

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    1. Gale, D. & Mas-Colell, A., 1979. "Corrections to an equilibrium existence theorem for a general model without ordered preferences," Journal of Mathematical Economics, Elsevier, vol. 6(3), pages 297-298, December.
    2. Gale, D. & Mas-Colell, A., 1975. "An equilibrium existence theorem for a general model without ordered preferences," Journal of Mathematical Economics, Elsevier, vol. 2(1), pages 9-15, March.
    3. Bergstrom, Theodore C., 1976. "How to discard `free disposability' - at no cost," Journal of Mathematical Economics, Elsevier, vol. 3(2), pages 131-134, July.
    4. 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.
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    Cited by:

    1. Lionel de Boisdeffre, 2004. "No-arbitrage equilibria with differential information: an enlarged existence theorem," Cahiers de la Maison des Sciences Economiques b04102, Université Panthéon-Sorbonne (Paris 1).

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