Non-implementability of Arrow–Debreu equilibria by continuous trading under volatility uncertainty
Author
Abstract
Suggested Citation
DOI: 10.1007/s00780-018-0362-x
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Larry G. Epstein & Shaolin Ji, 2013.
"Ambiguous Volatility and Asset Pricing in Continuous Time,"
The Review of Financial Studies, Society for Financial Studies, vol. 26(7), pages 1740-1786.
- Larry G. Epstein & Shaolin Ji, 2012. "Ambiguous Volatility and Asset Pricing in Continuous Time," CIRANO Working Papers 2012s-29, CIRANO.
- Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous volatility and asset pricing in continuous time," Papers 1301.4614, arXiv.org.
- Darrell Duffie & Chi-Fu Huang, 2005.
"Implementing Arrow-Debreu Equilibria By Continuous Trading Of Few Long-Lived Securities,"
World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 4, pages 97-127,
World Scientific Publishing Co. Pte. Ltd..
- Duffie, J Darrell & Huang, Chi-fu, 1985. "Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities," Econometrica, Econometric Society, vol. 53(6), pages 1337-1356, November.
- Mark Davis & Jan Obloj, 2007. "Market completion using options," Papers 0710.2792, arXiv.org, revised Oct 2008.
- Duffie, Darrell & Zame, William, 1989.
"The Consumption-Based Capital Asset Pricing Model,"
Econometrica, Econometric Society, vol. 57(6), pages 1279-1297, November.
- Darrell Duffie & William Zame, 1988. "The Consumption-Based Capital Asset Pricing Model," Discussion Papers 88-10, University of Copenhagen. Department of Economics.
- Riedel, Frank & Herzberg, Frederik, 2013.
"Existence of financial equilibria in continuous time with potentially complete markets,"
Journal of Mathematical Economics, Elsevier, vol. 49(5), pages 398-404.
- Frederik Herzberg & Frank Riedel, 2012. "Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets," Papers 1207.2010, arXiv.org.
- Riedel, Frank & Herzberg, Frederik, 2017. "Existence of financial equilibria in continuous time with potentially complete markets," Center for Mathematical Economics Working Papers 443, Center for Mathematical Economics, Bielefeld University.
- Zengjing Chen & Larry Epstein, 2002.
"Ambiguity, Risk, and Asset Returns in Continuous Time,"
Econometrica, Econometric Society, vol. 70(4), pages 1403-1443, July.
- Zengjing Chen & Larry G. Epstein, 2000. "Ambiguity, risk and asset returns in continuous time," RCER Working Papers 474, University of Rochester - Center for Economic Research (RCER).
- Daniel C. Schwarz, 2017. "Market completion with derivative securities," Finance and Stochastics, Springer, vol. 21(1), pages 263-284, January.
- Antoine Billot & Alain Chateauneuf & Itzhak Gilboa & Jean-Marc Tallon, 2000.
"Sharing Beliefs: Between Agreeing and Disagreeing,"
Econometrica, Econometric Society, vol. 68(3), pages 685-694, May.
- Billot, A. & Chateauneuf, A. & Gilboa, I. & Tallon, J.-M., 1998. "Sharing Beliefs: Between Agreeing and Disagreeing," Papiers d'Economie Mathématique et Applications 98.30, Université Panthéon-Sorbonne (Paris 1).
- Antoine Billot & Alain Chateauneuf & Itzhak Gilboa & Jean-Marc Tallon, 2000. "Sharing beliefs: between agreeing and disagreeing," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00174553, HAL.
- Itzhak Gilboa & Antoine Billot & Alain Chateauneuf & Jean-Marc Tallon, 2000. "Sharing Beliefs: between Agreeing and Disagreeing," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00753122, HAL.
- Antoine Billot & Alain Chateauneuf & Itzhak Gilboa & Jean-Marc Tallon, 2000. "Sharing beliefs: between agreeing and disagreeing," Post-Print halshs-00174553, HAL.
- Itzhak Gilboa & Antoine Billot & Alain Chateauneuf & Jean-Marc Tallon, 2000. "Sharing Beliefs: between Agreeing and Disagreeing," Post-Print hal-00753122, HAL.
- Dana, Rose-Anne & Riedel, Frank, 2013.
"Intertemporal equilibria with Knightian uncertainty,"
Journal of Economic Theory, Elsevier, vol. 148(4), pages 1582-1605.
- Rose Anne Dana & Frank Riedel, 2013. "Intertemporal equilibria with Knightian Uncertainty," Working Papers 2013-16, Department of Research, Ipag Business School.
- Dana, Rose-Anne & Riedel, Frank, 2017. "Intertemporal equilibria with Knightian uncertainty," Center for Mathematical Economics Working Papers 440, Center for Mathematical Economics, Bielefeld University.
- Rose-Anne Dana & Franck Riedel, 2013. "Intertemporal Equilibria with Knightian uncertainty," Post-Print hal-00927170, HAL.
- Tallon, Jean-Marc, 1998.
"Do sunspots matter when agents are Choquet-expected-utility maximizers?,"
Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 357-368, March.
- Tallon, J.M., 1995. "Sunspot Equilibria and Non-Additive Expected Utility Maximizers," Papiers d'Economie Mathématique et Applications 95.14, Université Panthéon-Sorbonne (Paris 1).
- Luca Rigotti & Chris Shannon, 2005.
"Uncertainty and Risk in Financial Markets,"
Econometrica, Econometric Society, vol. 73(1), pages 203-243, January.
- Rigotti, Luca & Shannon, Chris, 2001. "Uncertainty and Risk in Financial Markets," Department of Economics, Working Paper Series qt6m42r5rr, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Rigotti, Luca & Shannon, Chris, 2001. "Uncertainty and Risk in Financial Markets," Department of Economics, Working Paper Series qt7pp7113z, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Luca Rigotti & Chris Shannon=20, 2002. "Uncertainty and Risk in Financial Markets," Game Theory and Information 0201001, University Library of Munich, Germany.
- Luciano Castro & Alain Chateauneuf, 2011.
"Ambiguity aversion and trade,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 243-273, October.
- Luciano de Castro & Alain Chateauneuf, 2011. "Ambiguity aversion and trade," PSE-Ecole d'économie de Paris (Postprint) hal-00685408, HAL.
- Luciano de Castro & Alain Chateauneuf, 2011. "Ambiguity aversion and trade," Post-Print hal-00685408, HAL.
- Alain Chateauneuf & Luciano I. de Castro, 2011. "Ambiguity Aversion and Trade," Discussion Papers 1526, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Luciano de Castro & Alain Chateauneuf, 2011. "Ambiguity aversion and trade," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00685408, HAL.
- Soner, H. Mete & Touzi, Nizar & Zhang, Jianfeng, 2011. "Martingale representation theorem for the G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 121(2), pages 265-287, February.
- Rose-Anne Dana, 2002. "On Equilibria when Agents Have Multiple Priors," Annals of Operations Research, Springer, vol. 114(1), pages 105-115, August.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- J. Hugonnier & S. Malamud & E. Trubowitz, 2012.
"Endogenous Completeness of Diffusion Driven Equilibrium Markets,"
Econometrica, Econometric Society, vol. 80(3), pages 1249-1270, May.
- Julien HUGONNIER & Semyon MALAMUD & Eugene TRUBOWITZ, 2009. "Endogenous completeness of diffusion driven equilibrium markets," Swiss Finance Institute Research Paper Series 09-41, Swiss Finance Institute.
- Alain Chateauneuf & Luciano De Castro, 2011. "Ambiguity Aversion and Absence of Trade," Discussion Papers 1535, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Dana, Rose Anne, 1993. "Existence and Uniqueness of Equilibria When Preferences Are Additively Separable," Econometrica, Econometric Society, vol. 61(4), pages 953-957, July.
- Anderson Robert M. & Zame William R., 2001. "Genericity with Infinitely Many Parameters," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 1(1), pages 1-64, February.
- Vorbrink, Jörg, 2014. "Financial markets with volatility uncertainty," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 64-78.
- repec:ipg:wpaper:2013-016 is not listed on IDEAS
- Ioannis Karatzas & John P. Lehoczky & Steven E. Shreve, 1990. "Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model," Mathematics of Operations Research, INFORMS, vol. 15(1), pages 80-128, February.
- Robert M. Anderson & Roberto C. Raimondo, 2008. "Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets," Econometrica, Econometric Society, vol. 76(4), pages 841-907, July.
- Dmitry Kramkov, 2015. "Existence of an endogenously complete equilibrium driven by a diffusion," Finance and Stochastics, Springer, vol. 19(1), pages 1-22, January.
- Marc Romano & Nizar Touzi, 1997. "Contingent Claims and Market Completeness in a Stochastic Volatility Model," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 399-412, October.
- Rose-Anne Dana & Monique Pontier, 1992. "On the Existence of an Arrow-Radner Equilibrium in the Case of Complete Markets. A Remark," Mathematics of Operations Research, INFORMS, vol. 17(1), pages 148-163, February.
- repec:dau:papers:123456789/5456 is not listed on IDEAS
- Gordan Žitković, 2006. "Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints," Finance and Stochastics, Springer, vol. 10(1), pages 99-119, January.
- repec:ipg:wpaper:16 is not listed on IDEAS
- W. Hildenbrand & H. Sonnenschein (ed.), 1991. "Handbook of Mathematical Economics," Handbook of Mathematical Economics, Elsevier, edition 1, volume 4, number 4.
- Mas-Colell, Andreu & Zame, William R., 1991. "Equilibrium theory in infinite dimensional spaces," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 34, pages 1835-1898, Elsevier.
- repec:dau:papers:123456789/11268 is not listed on IDEAS
- Bewley, Truman F., 1972. "Existence of equilibria in economies with infinitely many commodities," Journal of Economic Theory, Elsevier, vol. 4(3), pages 514-540, June.
- Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
- Tallon, Jean-Marc, 1998.
"Do sunspots matter when agents are Choquet-expected-utility maximizers?,"
Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 357-368, March.
- Jean-Marc Tallon, 1998. "Do sunspots matter when agents are Choquet-expected-utility maximizers?," Post-Print halshs-00502493, HAL.
- BEWLEY, Truman F., 1972. "Existence of equilibria in economies with infinitely many commodities," LIDAM Reprints CORE 122, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Felix-Benedikt Liebrich & Max Nendel, 2020. "Separability vs. robustness of Orlicz spaces: financial and economic perspectives," Papers 2009.09007, arXiv.org, revised May 2021.
- Wang, Ruodu & Wei, Yunran, 2020. "Characterizing optimal allocations in quantile-based risk sharing," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 288-300.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Patrick Beissner & Frank Riedel, 2014.
"Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty,"
Papers
1409.6940, arXiv.org.
- Riedel, Frank & Beißner, Patrick, 2016. "Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty," Center for Mathematical Economics Working Papers 527, Center for Mathematical Economics, Bielefeld University.
- Beißner, Patrick, 2016. "Radner Equilibria under Ambiguous Volatility," Center for Mathematical Economics Working Papers 493, Center for Mathematical Economics, Bielefeld University.
- Patrick Beissner, 2017. "Equilibrium prices and trade under ambiguous volatility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(2), pages 213-238, August.
- Riedel, Frank & Herzberg, Frederik, 2013.
"Existence of financial equilibria in continuous time with potentially complete markets,"
Journal of Mathematical Economics, Elsevier, vol. 49(5), pages 398-404.
- Frederik Herzberg & Frank Riedel, 2012. "Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets," Papers 1207.2010, arXiv.org.
- Riedel, Frank & Herzberg, Frederik, 2017. "Existence of financial equilibria in continuous time with potentially complete markets," Center for Mathematical Economics Working Papers 443, Center for Mathematical Economics, Bielefeld University.
- Martins-da-Rocha, V. Filipe & Riedel, Frank, 2010.
"On equilibrium prices in continuous time,"
Journal of Economic Theory, Elsevier, vol. 145(3), pages 1086-1112, May.
- V. Filipe Martins-da-Rocha & Frank Riedel, 2008. "On Equilibrium Prices in Continuous Time," Papers 0802.3585, arXiv.org.
- Martins-da-Rocha, Victor Filipe & Riedel, Frank, 2008. "On equilibrium prices in continuous time," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 672, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Martins-da-Rocha, Victor Filipe & Riedel, Frank, 2011. "On equilibrium prices in continuous time," Center for Mathematical Economics Working Papers 397, Center for Mathematical Economics, Bielefeld University.
- Matteo Burzoni & Frank Riedel & H. Mete Soner, 2021.
"Viability and Arbitrage Under Knightian Uncertainty,"
Econometrica, Econometric Society, vol. 89(3), pages 1207-1234, May.
- Burzoni, Matteo & Riedel, Frank & Soner, Halil Mete, 2017. "Viability and arbitrage under Knightian Uncertainty," Center for Mathematical Economics Working Papers 575, Center for Mathematical Economics, Bielefeld University.
- Matteo Burzoni & Frank Riedel & H. Mete Soner, 2017. "Viability and Arbitrage under Knightian Uncertainty," Papers 1707.03335, arXiv.org, revised Jan 2021.
- Gordan Zitkovic, 2007. "Financial equilibria in the semimartingale setting: complete markets and markets with withdrawal constraints," Papers 0706.0462, arXiv.org.
- Charalambos Aliprantis & Kim Border & Owen Burkinshaw, 1996. "Market economies with many commodities," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 19(1), pages 113-185, March.
- Dana, Rose-Anne & Riedel, Frank, 2013.
"Intertemporal equilibria with Knightian uncertainty,"
Journal of Economic Theory, Elsevier, vol. 148(4), pages 1582-1605.
- Rose Anne Dana & Frank Riedel, 2013. "Intertemporal equilibria with Knightian Uncertainty," Working Papers 2013-16, Department of Research, Ipag Business School.
- Dana, Rose-Anne & Riedel, Frank, 2017. "Intertemporal equilibria with Knightian uncertainty," Center for Mathematical Economics Working Papers 440, Center for Mathematical Economics, Bielefeld University.
- Rose-Anne Dana & Franck Riedel, 2013. "Intertemporal Equilibria with Knightian uncertainty," Post-Print hal-00927170, HAL.
- repec:ipg:wpaper:16 is not listed on IDEAS
- Jeleva, Meglena & Tallon, Jean-Marc, 2016.
"Ambiguïté, comportements et marchés financiers,"
L'Actualité Economique, Société Canadienne de Science Economique, vol. 92(1-2), pages 351-383, Mars-Juin.
- Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01109639, HAL.
- Meglena Jeleva & Jean-Marc Tallon, 2016. "Ambiguïté, comportements et marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01410661, HAL.
- Meglena Jeleva & Jean-Marc Tallon, 2016. "Ambiguïté, comportements et marchés financiers," Post-Print hal-01410661, HAL.
- Meglena Jeleva & Jean-Marc Tallon, 2016. "Ambiguïté, comportements et marchés financiers," PSE-Ecole d'économie de Paris (Postprint) hal-01410661, HAL.
- Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Post-Print halshs-01109639, HAL.
- Dmitry Kramkov & Sergio Pulido, 2017. "Density of the set of probability measures with the martingale representation property," Working Papers hal-01598651, HAL.
- Horst, Ulrich & Pirvu, Traian A. & Dos Reis, Gonçalo, 2010. "On securitization, market completion and equilibrium risk transfer," SFB 649 Discussion Papers 2010-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- repec:dau:papers:123456789/11268 is not listed on IDEAS
- Tian, Dejian & Tian, Weidong, 2014. "Optimal risk-sharing under mutually singular beliefs," Mathematical Social Sciences, Elsevier, vol. 72(C), pages 41-49.
- Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
- repec:dau:papers:123456789/5375 is not listed on IDEAS
- Gordan Žitković, 2012. "An example of a stochastic equilibrium with incomplete markets," Finance and Stochastics, Springer, vol. 16(2), pages 177-206, April.
- repec:ipg:wpaper:2013-016 is not listed on IDEAS
- Dmitry Kramkov & Sergio Pulido, 2019. "Density of the set of probability measures with the martingale representation property," Post-Print hal-01598651, HAL.
- Alziary Chassat, Bénédicte & Takac, Peter, 2017. "On the Heston Model with Stochastic Volatility: Analytic Solutions and Complete Markets," TSE Working Papers 17-796, Toulouse School of Economics (TSE).
- Luis Escauriaza & Daniel C. Schwarz & Hao Xing, 2020. "Radner equilibrium and systems of quadratic BSDEs with discontinuous generators," Papers 2008.03500, arXiv.org, revised May 2021.
- Alain Chateauneuf & Luciano De Castro, 2011. "Ambiguity Aversion and Absence of Trade," Discussion Papers 1535, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Gianluca Cassese, 2021.
"Complete and competitive financial markets in a complex world,"
Finance and Stochastics, Springer, vol. 25(4), pages 659-688, October.
- Gianluca Cassese, 2020. "Complete and competitive financial markets in a complex world," Papers 2003.01055, arXiv.org, revised Mar 2021.
- Gianluca Cassese, 2020. "Complete and Competitive Financial Markets in a Complex World," Working Papers 435, University of Milano-Bicocca, Department of Economics, revised Mar 2020.
More about this item
Keywords
Knightian uncertainty; Ambiguity; General equilibrium; Asset pricing; Radner equilibrium;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G1 - Financial Economics - - General Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0362-x. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.