No-arbitrage Equilibria with Differential Information: An Existence Proof |
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Authors: | Lionel de Boisdeffre |
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Institution: | 1.INSEE (CREST), Paris & CERMSEM,Université Paris 1,Paris,France |
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Abstract: | On the example of a pure exchange financial economy with two periods incomplete nominal-asset markets and differential information
of the adverse selection’s type, Cornet-De Boisdeffre (J Math Econ 38:393-410, 2002) introduced refined concepts of no-arbitrage
prices and equilibria, which extended to the asymmetric information setting the classical concepts of the symmetric information
literature. We now assess existence issues and extend a standard property of symmetric information models. Namely, we prove
that a no-arbitrage equilibrium always exists, as long as financial markets preclude arbitrage, under the same standard conditions,
whether agents have symmetric or asymmetric information. |
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Keywords: | General equilibrium Asymmetric information Arbitrage Inference Existence of equilibrium |
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