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.
- Language
-
Englisch
- Bibliographic citation
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Series: Center for Mathematical Economics Working Papers ; No. 527
- Classification
-
Wirtschaft
Criteria for Decision-Making under Risk and Uncertainty
Optimization Techniques; Programming Models; Dynamic Analysis
Portfolio Choice; Investment Decisions
- Subject
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Knightian Uncertainty
Ambiguity
General Equilibrium
Asset Pricing
Radner Equilibrium
- Event
-
Geistige Schöpfung
- (who)
-
Riedel, Frank
Beissner, Patrick
- Event
-
Veröffentlichung
- (who)
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Bielefeld University, Center for Mathematical Economics (IMW)
- (where)
-
Bielefeld
- (when)
-
2014
- DOI
-
doi:10.2139/ssrn.2500793
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Riedel, Frank
- Beissner, Patrick
- Bielefeld University, Center for Mathematical Economics (IMW)
Time of origin
- 2014
Other Objects (12)
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Non-implementability of Arrow-Debreu equilibria by continuous trading under Knightian uncertainty
Arrow-Debreu equilibria with asymptotically heterogeneous expectations exist
Arrow-Debreu Equilibria With Asymptotically Heterogeneous Expectations Exist
Intertemporal equilibria with knightian uncertainty
Equilibria under Knightian price uncertainty
Correlated Equilibria with Payoff Uncertainty
Equilibria under Knightian price uncertainty
Intertemporal equilibria with Knightian uncertainty
Equilibria under Knightian Price Uncertainty
Discrete Arrow–Pratt indexes for risk and uncertainty
A characterisation of trading equilibria in market games
Arrow
Non-implementability of Arrow-Debreu equilibria by continuous trading under Knightian uncertainty
Arrow-Debreu equilibria with asymptotically heterogeneous expectations exist
Arrow-Debreu Equilibria With Asymptotically Heterogeneous Expectations Exist
Intertemporal equilibria with knightian uncertainty
Equilibria under Knightian price uncertainty
Correlated Equilibria with Payoff Uncertainty
Equilibria under Knightian price uncertainty
Intertemporal equilibria with Knightian uncertainty
Equilibria under Knightian Price Uncertainty
Discrete Arrow–Pratt indexes for risk and uncertainty
A characterisation of trading equilibria in market games