Uncertainty and absence of arbitrage opportunity

Yaroslav Ivanenko and Illya Pasichnichenko

Papers from arXiv.org

Abstract: It is shown that absence of arbitrage opportunity in financial markets is a particular case of existence of uncertainty in decision system. Absence of arbitrage opportunity is considered in the sense of the Arrow-Debreu model of financial market with a riskless asset, while uncertainty (or ambiguity) is defined on the basis of the principle of internal coherence of M. Allais.

Date: 2013-07
New Economics Papers: this item is included in nep-upt
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