Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103925
Authors: 
Riedel, Frank
Beissner, Patrick
Year of Publication: 
2014
Series/Report no.: 
Working Papers, Center for Mathematical Economics 527
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

Files in This Item:
File
Size
477.06 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.