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 using the notion of sublinear pricing measures. Our approach unifies recent versions of the Fundamental Theorem under a common framework.
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