Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty

Beißner P, Riedel F (2018)
FINANCE AND STOCHASTICS 22(3): 603-620.

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Zeitschriftenaufsatz | Veröffentlicht | Englisch
Abstract / Bemerkung
In diffusion models, a few suitably chosen financial securities allow to complete the market. As a consequence, the efficient allocations of static Arrow-Debreu equilibria can be attained in Radner equilibria by dynamic trading. We show that this celebrated result generically fails if there is Knightian uncertainty about volatility. A Radner equilibrium with the same efficient allocation as in an Arrow-Debreu equilibrium exists if and only if the discounted net trades of the equilibrium allocation display no ambiguity in the mean. This property is violated generically in endowments, and thus Arrow-Debreu equilibrium allocations are generically unattainable by dynamically trading a few long-lived assets.
Erscheinungsjahr
Zeitschriftentitel
FINANCE AND STOCHASTICS
Band
22
Ausgabe
3
Seite(n)
603-620
ISSN
eISSN
PUB-ID

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Beißner P, Riedel F. Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty. FINANCE AND STOCHASTICS. 2018;22(3):603-620.
Beißner, P., & Riedel, F. (2018). Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty. FINANCE AND STOCHASTICS, 22(3), 603-620. doi:10.1007/s00780-018-0362-x
Beißner, P., and Riedel, F. (2018). Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty. FINANCE AND STOCHASTICS 22, 603-620.
Beißner, P., & Riedel, F., 2018. Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty. FINANCE AND STOCHASTICS, 22(3), p 603-620.
P. Beißner and F. Riedel, “Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty”, FINANCE AND STOCHASTICS, vol. 22, 2018, pp. 603-620.
Beißner, P., Riedel, F.: Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty. FINANCE AND STOCHASTICS. 22, 603-620 (2018).
Beißner, Patrick, and Riedel, Frank. “Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty”. FINANCE AND STOCHASTICS 22.3 (2018): 603-620.