Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/175876 
Year of Publication: 
2017
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 575
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Abstract: 
We reconsider the microeconomic foundations of financial economics under Knightian Uncertainty. In a general framework, we discuss the absence of arbitrage, its relation to economic viability, and the existence of suitable nonlinear pricing expectations. Classical financial markets under risk and no ambiguity are contained as special cases, including various forms of the Efficient Market Hypothesis. For Knightian uncertainty, our approach unifies recent versions of the Fundamental Theorem of Asset Pricing under a common framework.
Subjects: 
robust finance
no arbitrage
viability
Knightian Uncertainty
JEL: 
D53
G10
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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