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Existence of financial equilibrium with differential information: the no-arbitrage characterization

Abstract : In Cornet-De Boisde¤re (J Math Econ 38: 393-410, 2002), we had extended the classical equilibrium and arbitrage concepts of symmetric information to an asymmetric information model dropping Radner's (Econometrica 47: 655-678, 1979) rational expectations' assumption. In Cornet-De Boisdeffre (Econ Theory 38: 287-293, 2009), we showed how agents could infer enough information, in this model, to preclude arbitrage from financial markets. In De Boisdeffre (Econ Theory 31: 255-269, 2007), we extended to that model Cass' (CARESS WP 84-09, 1984) classical existence theorem for nominal assets, by showing the existence of equilibrium was characterized by a general no-arbitrage condition. We now display the same characteristic property for numeraire assets and, thus, extend Geanakoplos-Polemarchakis' (Essays in Honnor of K.J. Arrow, Starr & Starrett ed., Cambridge UP Vol. 3, 65-96, 1986) classical theorem to the asymmetric information setting. Contrasting withRadner's, these results show that symmetric and asymmetric information economies can be embedded into a common model, where they share similar properties.
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Submitted on : Tuesday, September 22, 2020 - 12:19:41 PM
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  • HAL Id : hal-02945462, version 1



Lionel De Boisdeffre. Existence of financial equilibrium with differential information: the no-arbitrage characterization. 2015. ⟨hal-02945462⟩



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