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

Lionel de Boisdeffre ()
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Lionel de Boisdeffre: CREST-INSEE - Centre de Recherche en Economie et en Statistique - INSEE - Institut national de la statistique et des études économiques (INSEE), CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: On the example of a pure exchange financial economy with two periods, incomplete markets and differential information of the adverse selection's type, Cornet-De Boisdeffre (2002) introduced refined concepts of price, arbitrage and so-called "no-arbitrage equilibria", which extended to the asymmetric information setting the classical concepts of symmetric information. In this paper, we prove that a no-arbitrage equilibrium exists under the same standard conditions with symmetric and asymmetric information.

Keywords: general equilibrium; asymmetric information; arbitrage; inference; existence of equilibrium; équilibre général; asymétrie informationnelle; inférence; existence de l'équilibre (search for similar items in EconPapers)
Date: 2004-03
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-03322655v1
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Published in 2004

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