Existence of financial equilibrium with differential information: the no-arbitrage characterization

Lionel Boisdeffre
Additional contact information
Lionel Boisdeffre: CATT - Centre d'Analyse Théorique et de Traitement des données économiques - UPPA - Université de Pau et des Pays de l'Adour

Working papers of CATT from HAL

Abstract: In Cornet-De Boisde¤re (J Math Econ 38: 393-410, 2002), we had extended the classical equilibrium and arbitrage concepts of symmetric information to an asymmetric information model dropping Radner's (Econometrica 47: 655-678, 1979) rational expectations' assumption. In Cornet-De Boisdeffre (Econ Theory 38: 287-293, 2009), we showed how agents could infer enough information, in this model, to preclude arbitrage from financial markets. In De Boisdeffre (Econ Theory 31: 255-269, 2007), we extended to that model Cass' (CARESS WP 84-09, 1984) classical existence theorem for nominal assets, by showing the existence of equilibrium was characterized by a general no-arbitrage condition. We now display the same characteristic property for numeraire assets and, thus, extend Geanakoplos-Polemarchakis' (Essays in Honnor of K.J. Arrow, Starr & Starrett ed., Cambridge UP Vol. 3, 65-96, 1986) classical theorem to the asymmetric information setting. Contrasting withRadner's, these results show that symmetric and asymmetric information economies can be embedded into a common model, where they share similar properties.

Keywords: general equilibrium; asymmetric information; arbitrage; existence (search for similar items in EconPapers)
Date: 2015-11
Note: View the original document on HAL open archive server: https://univ-pau.hal.science/hal-02945462v1
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://univ-pau.hal.science/hal-02945462v1/document (application/pdf)

Related works:
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: https://EconPapers.repec.org/RePEc:hal:wpcatt:hal-02945462

Access Statistics for this paper

More papers in Working papers of CATT from HAL
Bibliographic data for series maintained by CATT - UPPA - Université de Pau et des Pays de l'Adour ().