Financial economics without probabilistic prior assumptions

The treatment of uncertainty in general equilibrium theory in the style of Arrow and Debreu does not require a prior probability on the state space. Finance models nevertheless treat payoffs as random variables, implicitly or explicitly using a known probability distribution. In the light of Knighti...

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Veröffentlicht in:	Decisions in economics and finance Jg. 38; H. 1; S. 75 - 91
1. Verfasser:	Riedel, Frank
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Milan Springer Milan 01.04.2015 Springer Nature B.V
Schlagworte:	Arbitrage Asset backed securities Black swan event Econometrics Economic theory Economic Theory/Quantitative Economics/Mathematical Methods Economics Economics and Finance Equilibrium Finance Financial economics Free markets Hedging Linear algebra Linear programming Management Market equilibrium Mathematical analysis Operations Research/Decision Theory Prices Probability Probability distribution Public Finance Random variables Sophistication Studies Uncertainty Volatility D53 Infinite-dimensional linear programming Full support martingale measure Probability-free finance G12 Fundamental theorem of asset pricing Superhedging
ISSN:	1593-8883, 1129-6569
Online-Zugang:	Volltext
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