Viability and Arbitrage Under Knightian Uncertainty

@article{Burzoni2017ViabilityAA,
  title={Viability and Arbitrage Under Knightian Uncertainty},
  author={M. Burzoni and F. Riedel and H. Soner},
  journal={Swiss Finance Institute Research Paper Series},
  year={2017}
}
We reconsider the microeconomic foundations of financial economics under Knightian Uncertainty. We remove the (implicit) assumption of a common prior and base our analysis on a common order instead. Economic viability of asset prices and the absence of arbitrage are equivalent. We show how the different versions of the Efficient Market Hypothesis are related to the assumptions one is willing to impose on the common order. We also obtain a version of the Fundamental Theorem of Asset Pricing… Expand
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