Viability and Arbitrage Under Knightian Uncertainty

Matteo Burzoni, Frank Riedel, H. Mete Soner

Research output: Contribution to journalArticlepeer-review

8 Scopus citations


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.

Original languageEnglish (US)
Pages (from-to)1207-1234
Number of pages28
Issue number3
StatePublished - May 2021
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics


  • Knightian uncertainty
  • Viability
  • no arbitrage
  • robust finance


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