Elimination of arbitrage states in asymetric information models

Bernard Cornet and Lionel Boisdeffre
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Lionel Boisdeffre: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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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: Information revealed by prices; Asymmetric information; Incomplete markets; Arbitrage (search for similar items in EconPapers)
Date: 2009
Note: View the original document on HAL open archive server: https://univ-pau.hal.science/hal-01871267v1
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Published in Economic Theory, 2009, 38 (2), pp.287-293. ⟨10.1007/s00199-007-0205-z⟩

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Related works:
Journal Article: Elimination of arbitrage states in asymmetric information models (2009)
Working Paper: Elimination of arbitrage states in asymetric information models (2009)
Working Paper: Elimination of arbitrage states in asymmetric information models (2009)
Working Paper: Elimination of arbitrage states in asymmetric information models (2009)
Working Paper: Elimination of arbitrage states in asymetric information models (2009)
Working Paper: Elimination of Arbitrage States in Asymmetric Information Models (2009)
Working Paper: Elimination of arbitrage states in asymmetric information models (2009)
Working Paper: ELIMINATION OF ARBITRAGE STATES IN ASYMMETRIC INFORMATION MODELS (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01871267

DOI: 10.1007/s00199-007-0205-z

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