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Elimination Of Arbitrage States In Asymmetric Information Models

  • Bernard Cornet

    (Department of Economics, The University of Kansas)

  • Lionel De Boisdeffre

    (CERMSEM, Maison des Sciences Economiques, Universite de Paris 1)

In a financial economy with asymmetric information and incomplete markets, we study how agents, having no model of how equilibrium prices are determined, may still refine their information by eliminating sequentially ¡°arbitrage state(s)¡±, namely, the state(s) which would grant the agent an arbitrage, if realizable.

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File URL: http://www.ku.edu/~bgju/2005Papers/200504.pdf
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Paper provided by University of Kansas, Department of Economics in its series WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS with number 200504.

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Length: 9 pages
Date of creation: Feb 2005
Date of revision: Feb 2005
Handle: RePEc:kan:wpaper:200504
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