TY  - JOUR
AB  - 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.
DA  - 2021
DO  - 10.3982/ECTA16535
KW  - Viability
KW  - Knightian uncertainty
KW  - no arbitrage
KW  - robust finance
LA  - eng
IS  - 3
M2  - 1207
PY  - 2021
SN  - 0012-9682
SP  - 1207-1234
T2  - Econometrica
TI  - Viability and Arbitrage Under Knightian Uncertainty
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29553621
Y2  - 2024-11-22T09:18:23
ER  -