Viability and Arbitrage Under Knightian Uncertainty

Burzoni M, Riedel F, Soner HM (2021)
Econometrica 89(3): 1207-1234.

Zeitschriftenaufsatz | Veröffentlicht | Englisch
 
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Autor*in
Burzoni, Matteo; Riedel, FrankUniBi ; Soner, H. Mete
Abstract / Bemerkung
We reconsider the microeconomic foundations of financial economics. Motivated by the importance of Knightian uncertainty in markets, we present a model that does not carry any probabilistic structure ex ante, yet is based on a common order. We derive the fundamental equivalence of economic viability of asset prices and absence of arbitrage. We also obtain a modified version of the fundamental theorem of asset pricing using the notion of sublinear pricing measures. Different versions of the efficient market hypothesis are related to the assumptions one is willing to impose on the common order.
Stichworte
Viability; Knightian uncertainty; no arbitrage; robust finance
Erscheinungsjahr
2021
Zeitschriftentitel
Econometrica
Band
89
Ausgabe
3
Seite(n)
1207-1234
ISSN
0012-9682
eISSN
1468-0262
Page URI
https://pub.uni-bielefeld.de/record/2955362

Zitieren

Burzoni M, Riedel F, Soner HM. Viability and Arbitrage Under Knightian Uncertainty. Econometrica. 2021;89(3):1207-1234.
Burzoni, M., Riedel, F., & Soner, H. M. (2021). Viability and Arbitrage Under Knightian Uncertainty. Econometrica, 89(3), 1207-1234. https://doi.org/10.3982/ECTA16535
Burzoni, M., Riedel, F., and Soner, H. M. (2021). Viability and Arbitrage Under Knightian Uncertainty. Econometrica 89, 1207-1234.
Burzoni, M., Riedel, F., & Soner, H.M., 2021. Viability and Arbitrage Under Knightian Uncertainty. Econometrica, 89(3), p 1207-1234.
M. Burzoni, F. Riedel, and H.M. Soner, “Viability and Arbitrage Under Knightian Uncertainty”, Econometrica, vol. 89, 2021, pp. 1207-1234.
Burzoni, M., Riedel, F., Soner, H.M.: Viability and Arbitrage Under Knightian Uncertainty. Econometrica. 89, 1207-1234 (2021).
Burzoni, Matteo, Riedel, Frank, and Soner, H. Mete. “Viability and Arbitrage Under Knightian Uncertainty”. Econometrica 89.3 (2021): 1207-1234.
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