Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty

Riedel F, Beißner P (2014) Center for Mathematical Economics Working Papers; 527.
Bielefeld: Center for Mathematical Economics.

Download
OA 445.71 KB
Diskussionspapier | Veröffentlicht | Englisch
Abstract / Bemerkung
Under risk, Arrow-Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long-lived securities. We show that this result generically fails if there is Knightian uncertainty in the volatility. Implementation is only possible if all discounted net trades of the equilibrium allocation are mean ambiguity-free.
Erscheinungsjahr
Band
527
Seite
29
ISSN
PUB-ID

Zitieren

Riedel F, Beißner P. Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty. Center for Mathematical Economics Working Papers. Vol 527. Bielefeld: Center for Mathematical Economics; 2014.
Riedel, F., & Beißner, P. (2014). Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty (Center for Mathematical Economics Working Papers, 527). Bielefeld: Center for Mathematical Economics.
Riedel, F., and Beißner, P. (2014). Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty. Center for Mathematical Economics Working Papers, 527, Bielefeld: Center for Mathematical Economics.
Riedel, F., & Beißner, P., 2014. Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty, Center for Mathematical Economics Working Papers, no.527, Bielefeld: Center for Mathematical Economics.
F. Riedel and P. Beißner, Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty, Center for Mathematical Economics Working Papers, vol. 527, Bielefeld: Center for Mathematical Economics, 2014.
Riedel, F., Beißner, P.: Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty. Center for Mathematical Economics Working Papers, 527. Center for Mathematical Economics, Bielefeld (2014).
Riedel, Frank, and Beißner, Patrick. Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 527.
Alle Dateien verfügbar unter der/den folgenden Lizenz(en):
Copyright Statement:
This Item is protected by copyright and/or related rights. [...]
Volltext(e)
Access Level
OA Open Access
Zuletzt Hochgeladen
2016-04-20T09:41:28Z

Export

Markieren/ Markierung löschen
Markierte Publikationen

Open Data PUB

Suchen in

Google Scholar