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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. Differe
We study the Fundamental Theorem of Asset Pricing for a general financial market under Knightian Uncertainty. We adopt a functional analytic approach which require neither specific assumptions on the class of priors $mathcal{P}$ nor on the structure
In a model independent discrete time financial market, we discuss the richness of the family of martingale measures in relation to different notions of Arbitrage, generated by a class $mathcal{S}$ of significant sets, which we call Arbitrage de la cl
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agents preferences exhibit local intertemporal substitution. We also allow for market frictions in the sense that the pricing functional is nonlin
The no-arbitrage property is widely accepted to be a centerpiece of modern financial mathematics and could be considered to be a financial law applicable to a large class of (idealized) markets. The paper addresses the following basic question: can o
We study single-good auctions in a setting where each player knows his own valuation only within a constant multiplicative factor delta{} in (0,1), and the mechanism designer knows delta. The classical notions of implementation in dominant strategies