knight不确定性下连续交易的Arrow-Debreu均衡的不可实现性

ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2014-09-18 DOI:10.2139/ssrn.2500793

F. Riedel, Patrick Beissner

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引用次数: 7

摘要

在有风险的情况下，阿罗-德布鲁均衡可以通过少量长寿命证券的连续交易实现为拉德纳均衡。我们证明，如果波动率中存在奈特不确定性，则此结果一般不成立。只有当均衡分配的所有贴现净交易平均无歧义时，实现才有可能。

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Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty

Under risk, Arrow-Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long-lived securities. We show that this result generically fails if there is Knightian uncertainty in the volatility. Implementation is only possible if all discounted net trades of the equilibrium allocation are mean ambiguity-free.

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ERN: Other Econometrics: Mathematical Methods & Programming (Topic)

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