Elimination of arbitrage states in asymetric information models

Journal article: In a financial economy with asymmetric information and incomplete markets, we study how agents, having no model of how equilibrium prices are determined, may still refine their information by eliminating sequentially "arbitrage state(s)", namely, the state(s) which would grant the agent an arbitrage, if realizable.

Author(s)

Bernard Cornet, Lionel De Boisdeffre

Journal
  • Economic Theory
Date of publication
  • 2009
Keywords
  • Information revealed by prices
  • Asymmetric information
  • Incomplete markets
  • Arbitrage
Pages
  • 287-293
Version
  • 1
Volume
  • 38