相关论文: Non-Implementability of Arrow-Debreu Equilibria by…

Knightian uncertainty leads naturally to nonlinear expectations. We introduce a corresponding equilibrium concept with sublinear prices and establish their existence. In general, such equilibria lead to Pareto inefficiency and coincide with…

We prove that the problem of computing an Arrow-Debreu market equilibrium is PPAD-complete even when all traders use additively separable, piecewise-linear and concave utility functions. In fact, our proof shows that this market-equilibrium…

This paper revisits the Arrow-Debreu general equilibrium framework through the lens of effective trade, emphasizing the distinction between theoretical and realizable market interactions. We develop the Effective Trade Model (ETM), where…

We derive tractable necessary and sufficient conditions for the absence of buy-and-hold arbitrage opportunities in a perfectly liquid, one period market. We formulate the positivity of Arrow-Debreu prices as a generalized moment problem to…

It is shown that absence of arbitrage opportunity in financial markets is a particular case of existence of uncertainty in decision system. Absence of arbitrage opportunity is considered in the sense of the Arrow-Debreu model of financial…

We study robust stochastic optimization problems in the quasi-sure setting in discrete-time. The strategies in the multi-period-case are restricted to those taking values in a discrete set. The optimization problems under consideration are…

We introduce the notion of non-monotone utilities, which covers a wide variety of utility functions in economic theory. We then prove that it is PPAD-hard to compute an approximate Arrow-Debreu market equilibrium in markets with linear and…

The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents' strategic sets consist of all possible sharing…

This paper presents a discrete--time equity derivatives pricing model with default risk in a no--arbitrage framework. Using the equity--credit reduced form approach where default intensity mainly depends on the firm's equity value, we…

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 prove the existence of a Radner equilibrium in a model with proportional transaction costs on an infinite time horizon and analyze the effect of transaction costs on the endogenously determined interest rate. Two agents receive…

We prove the existence of a continuous-time Radner equilibrium with multiple agents and transaction costs. The agents are incentivized to trade towards a targeted number of shares throughout the trading period and seek to maximize their…

We introduce a novel equilibrium concept that incorporates Knightian uncertainty into the cursed equilibrium (Eyster and Rabin, 2005). This concept is then applied to a two-player game in which agents can engage in trade or refuse to do so.…

We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimize their expected utility over both running consumption and terminal wealth. The market consists of a traded…

We construct continuous-time equilibrium models based on a finite number of exponential utility investors. The investors' income rates as well as the stock's dividend rate are governed by discontinuous Levy processes. Our main result…

It is a common belief that computing a market equilibrium in Fisher's spending model is easier than computing a market equilibrium in Arrow-Debreu's exchange model. This belief is built on the fact that we have more algorithmic success in…

A range of empirical puzzles in finance has been explained as a consequence of traders being averse to ambiguity. Ambiguity averse traders can behave in financial portfolio problems in ways that cannot be rationalized as maximizing…

Motivated by the convergence result of mirror-descent algorithms to market equilibria in linear Fisher markets, it is natural for one to consider designing dynamics (specifically, iterative algorithms) for agents to arrive at linear…

In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in which Knightian uncertainty is modeled through a set of multiple priors, we prove existence and uniqueness of the optimal…

These notes discuss several topics in neoclassical economics and alternatives, with an aim of reviewing fundamental issues in modeling economic markets. I start with a brief, non-rigorous summary of the basic Arrow-Debreu model of general…