No-arbitrage equilibria with differential information : a proof of existence
On the example of a pure-exchange financial economy with two periods, incomplete nominal asset markets and differential information of the adverse selection's type, Cornet-De Boisdeffre (2002) introduced refined concepts of price, arbitrage and a so-called «no-arbitrage equilibrium», which extended to the asymmetric setting the classical concepts of the symmetric information literature. We now show a no-arbitrage equilibrium exists, for any given no-arbitrage asset price, under the same standard conditions on consumption and preferences, as the classical financial equilibrium with symmetric information.
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- Monique Florenzano, 2008.
Documents de travail du Centre d'Economie de la Sorbonne
b08005, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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