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Elimination of arbitrage states in asymetric information models

Abstract : 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.
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Submitted on : Tuesday, April 2, 2019 - 7:43:56 PM
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Bernard Cornet, Lionel Boisdeffre. Elimination of arbitrage states in asymetric information models. Economic Theory, Springer Verlag, 2009, 38 (2), pp.287-293. ⟨10.1007/s00199-007-0205-z⟩. ⟨hal-01871267⟩



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