Basili M., Fontini F. (2001)

No Trade in Financial Markets With Uncertainty. In ISIPTA (pp. 27-31).

 

Abstract:

In this paper a Radner economy is considered with Uncertainty, modeled by means of the Choquet Expected Utility. Agents are split into two categories: optimists, who hold a concave capacity, and pessimists, who hold a convex one. A no-trade theorem is stated and proved under the assumption of common beliefs with uncertainty.