Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/103925 
Year of Publication: 
2014
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 527
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Abstract: 
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.
Subjects: 
Knightian Uncertainty
Ambiguity
General Equilibrium
Asset Pricing
Radner Equilibrium
JEL: 
D81
C61
G11
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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