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

Frank Riedel; Patrick Beissner

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.

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Year of publication:	2014
Authors:	Riedel, Frank ; Beißner, Patrick
Publisher:	Bielefeld : Center for Mathematical Economics, IMW
Subject:	Knightian Uncertainty \| Ambiguity \| General Equilibrium \| Asset Pricing \| Radner Equilibrium \| Allgemeines Gleichgewicht \| General equilibrium \| Risiko \| Risk \| CAPM \| Entscheidung unter Unsicherheit \| Decision under uncertainty \| Gleichgewichtstheorie \| Equilibrium theory

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Extent:	Online-Ressource (28 S.) graph. Darst.
Series:	Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW). - Bielefeld : IMW, ISSN 2942-9536, ZDB-ID 2437810-0. - Vol. 527 Institute of Mathematical Economics Working Paper ; No. 527
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	10.2139/ssrn.2500793 [DOI] hdl:10419/103925 [Handle]
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010411561