Elimination of arbitrage states in asymetric information models

Article dans une revue: 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.

Auteur(s)

Bernard Cornet, Lionel De Boisdeffre

Revue
  • Economic Theory
Date de publication
  • 2009
Mots-clés
  • Information revealed by prices
  • Asymmetric information
  • Incomplete markets
  • Arbitrage
Pages
  • 287-293
Version
  • 1
Volume
  • 38