奈特不确定性下的生存能力与套利

Matteo Burzoni, F. Riedel, H. Soner
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引用次数: 19

摘要

我们重新考虑金融经济学的微观经济基础。由于奈特不确定性在市场中的重要性,我们提出了一个事先不携带任何概率结构的模型,但它是基于一个共同的订单。我们推导了资产价格的经济可行性和套利不存在的基本等价。我们还利用次线性定价测度的概念得到了资产定价基本定理的一个修正版本。有效市场假说的不同版本与人们愿意强加于共同秩序的假设有关。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Viability and Arbitrage Under Knightian Uncertainty
We reconsider the microeconomic foundations of financial economics. Motivated by the importance of Knightian uncertainty in markets, we present a model that does not carry any probabilistic structure ex ante, yet is based on a common order. We derive the fundamental equivalence of economic viability of asset prices and absence of arbitrage. We also obtain a modified version of the fundamental theorem of asset pricing using the notion of sublinear pricing measures. Different versions of the efficient market hypothesis are related to the assumptions one is willing to impose on the common order.
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