No-arbitrage equilibria with differential information: a proof of existence

Lionel de Boisdeffre ()
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Lionel de Boisdeffre: CERMSEM

Cahiers de la Maison des Sciences Economiques from Université Panthéon-Sorbonne (Paris 1)

Abstract: On the example of a pure-exchange financial economy with two periods, incomplete nominal asset markets and differential information of the adverse selection's type, Cornet-De Boisdeffre (2002) introduced refined concepts of price, arbitrage and a so-called «no-arbitrage equilibrium», which extended to the asymmetric setting the classical concepts of the symmetric information literature. We now show a no-arbitrage equilibrium exists, for any given no-arbitrage asset price, under the same standard conditions on consumption and preferences, as the classical financial equilibrium with symmetric information

Keywords: General equilibrium; asymmetric information; arbitrage; inference; existence of equilibrium (search for similar items in EconPapers)
JEL-codes: D52 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2004-04
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Citations: View citations in EconPapers (1)

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