Elimination of Arbitrage States in Asymmetric Information Models

In a financial economy with asymmetric information and incomplete markets, we study how agents, having no model of how equilibrium prices are determined, may still refine their information by eliminating sequentially "arbitrage state(s)", namely, the state(s) which would grant the agent an arbitrage, if realizable.

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Year of publication:	2009-12
Authors:	Cornet, Bernard ; Boisdeffre, Lionel D
Institutions:	Department of Economics, University of Kansas
Subject:	Arbitrage \| Incomplete markets \| Asymmetric information \| Information revealed by prices

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Extent:	application/pdf
Series:	WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 200912 7 pages
Classification:	D52 - Incomplete Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008472279