Arbeitspapier
Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading Under Knightian Uncertainty
Under risk, Arrow-Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long-lived securities. We show that this result generically fails if there is Knightian uncertainty in the volatility. Implementation is only possible if all discounted net trades of the equilibrium allocation are mean ambiguity-free.
- Sprache
-
Englisch
- Erschienen in
-
Series: Center for Mathematical Economics Working Papers ; No. 527
- Klassifikation
-
Wirtschaft
Criteria for Decision-Making under Risk and Uncertainty
Optimization Techniques; Programming Models; Dynamic Analysis
Portfolio Choice; Investment Decisions
- Thema
-
Knightian Uncertainty
Ambiguity
General Equilibrium
Asset Pricing
Radner Equilibrium
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Riedel, Frank
Beissner, Patrick
- Ereignis
-
Veröffentlichung
- (wer)
-
Bielefeld University, Center for Mathematical Economics (IMW)
- (wo)
-
Bielefeld
- (wann)
-
2014
- DOI
-
doi:10.2139/ssrn.2500793
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Riedel, Frank
- Beissner, Patrick
- Bielefeld University, Center for Mathematical Economics (IMW)
Entstanden
- 2014
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