Non-implementability of Arrow–Debreu equilibria by continuous trading under volatility uncertainty

Author:

Beissner Patrick,Riedel Frank

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Reference36 articles.

1. Anderson, R., Raimondo, R.: Equilibrium in continuous-time financial markets: endogenously dynamically complete markets. Econometrica 76, 841–907 (2008)

2. Anderson, R., Zame, W.R.: Genericity with infinitely many parameters. B.E. J. Theor. Econ. 1, 1–64 (2001)

3. Arrow, K.J.: Le rôle des valeurs boursières pour la répartition la meilleure des risques. In: Économétrie. Colloques Internationaux du Centre National de la Recherche Scientifique (Paris 1952), vol. 40, pp. 41–47. C.N.R.S, Paris (1953). Discussion, pp. 47–48; English translation: Rev. Econ. Stud. 31, 91–96 (1964)

4. Beissner, P.: Microeconomic theory of financial economics under volatility uncertainty. PhD thesis, Bielefeld University (2014). Available online at https://pub.uni-bielefeld.de/publication/2681903

5. Bewley, T.: Existence of equilibria in economies with infinitely many commodities. J. Econ. Theory 4, 514–540 (1972)

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