We consider an exchange economy under incomplete financial markets with purely financial securities and finitely many agents. When portfolios are not constrained, Cass [4], Duffie [7], and Florenzano–Gourdel [12] proved that arbitrage-free security prices fully characterize equilibrium...

In order to encompass general financial frictions, we generalize the fundamental theorem of asset pricing to convex price functionals.We identify a new arbitrage condition, called robust no-arbitrage, that characterizes viability and generalizes the well-known no-arbitrage condition used in...

This text reviews a recent approach to modeling "radically uncertain" behavior in strategic interactions. By rigorously rooting the approach in decision theory, we provide a foundation for applications of Knightian uncertainty in mechanism design, principal agent and moral hazard models. We...