英文标题：
《Viability and Arbitrage under Knightian Uncertainty》
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作者：
Matteo Burzoni, Frank Riedel and H. Mete Soner
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最新提交年份：
2021
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英文摘要：
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.
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中文摘要：
我们重新考虑金融经济学的微观经济学基矗基于奈特不确定性在市场中的重要性，我们提出了一个模型，该模型不预先携带任何概率结构，而是基于一个公共秩序。我们推导出资产价格的经济可行性与无套利的基本等价性。我们还利用次线性定价测度的概念，得到了资产定价基本定理的修正版本。有效市场假说的不同版本与人们愿意强加给共同秩序的假设有关。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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