ELIMINATION OF ARBITRAGE STATES IN ASYMMETRIC INFORMATION MODELS

Bernard Cornet and Lionel De Boisdeffre
Additional contact information
Lionel De Boisdeffre: CERMSEM, Maison des Sciences Economiques, Universite de Paris 1

No 200504, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS from University of Kansas, Department of Economics

Abstract: 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.

Keywords: Arbitrage; incomplete markets; asymmetric information; information revealed by prices. (search for similar items in EconPapers)
JEL-codes: D52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk and nep-mic
Date: 2005-02, Revised 2005-02
View citations in EconPapers

Downloads: (external link)
http://www.ku.edu/~bgju/2005Papers/200504.pdf (application/pdf)

Related works:
Journal Article: Elimination of arbitrage states in asymmetric information models (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:kan:wpaper:200504

Access Statistics for this paper

More papers in WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS from University of Kansas, Department of Economics
Contact information at EDIRC.
Series data maintained by Ronald Caldwell ().