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
Download
IMW_working_paper_527.pdf
445.71 KB
Autor*in
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
Serientitel
Center for Mathematical Economics Working Papers
Band
527
Seite(n)
29
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2901673
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, Frank, and Beißner, Patrick. 2014. Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty. Vol. 527. Center for Mathematical Economics Working Papers. 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:
Dieses Objekt ist durch das Urheberrecht und/oder verwandte Schutzrechte geschützt. [...]
Volltext(e)
Name
IMW_working_paper_527.pdf
445.71 KB
Access Level
Open Access
Zuletzt Hochgeladen
2019-09-06T09:18:36Z
MD5 Prüfsumme
38bbe3498b7c9827b4da1d29fc43835d
Google Scholar