Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/241868 
Year of Publication: 
2021
Citation: 
[Journal:] Econometrica [ISSN:] 1468-0262 [Volume:] 89 [Issue:] 3 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2021 [Pages:] 1207-1234
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
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.
Subjects: 
Viability
Knightian uncertainty
no arbitrage
robust finance
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
Document Version: 
Published Version

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