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.

Diskussionspapier | Veröffentlicht | Englisch
 
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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.
Stichworte
Knightian Uncertainty; Ambiguity; general Equilibrium; Asset Pricing; Radner Equilibrium
Erscheinungsjahr
2014
Band
527
Seite(n)
29
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2901673

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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.
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2019-09-06T09:18:36Z
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