Arbitrage and price revelation with asymmetric information and incomplete markets

DOI10.1016/S0304-4068(02)00075-7zbMath1024.91008MaRDI QIDQ1867778

Lionel de Boisdeffre, Bernard Cornet

Publication date: 2 April 2003

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

zbMATH Keywords

asymmetric informationincomplete marketsrefinementprivate informationno-arbitrageinformation revealed by prices

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26) General equilibrium theory (91B50)

Related Items (6)

No-arbitrage equilibria with differential information: an existence proof ⋮ Collateralized assets and asymmetric information ⋮ Incomplete financial markets and differential information ⋮ Arbitrage and equilibrium with portfolio constraints ⋮ Elimination of arbitrage states in asymmetric information models ⋮ Dropping rational expectations

Cites Work

• On the optimality of equilibrium when the market structure is incomplete
• Competitive equilibria with asymmetric information
• Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
• Arbitrage and the Existence of Competitive Equilibrium
• Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices

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