Viability and Arbitrage Under Knightian Uncertainty

• 成果类型: Article
• 署名作者: Burzoni, Matteo; Riedel, Frank; Soner, H. Mete
• 署名单位: University of Milan; University of Bielefeld; University of Johannesburg; Princeton University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA16535
• 发表日期: 2021
• 页码: 1207-1234
• 关键词: SECURITIES MARKETS; MODEL; equilibrium; volatility; Duality; martingales; economies; utility; RISK

摘要

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.