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Differentiability of the Efficient Frontier when Commitment to Risk Sharing is Limited

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Author Info
Thorsten Koeppl (Department of Economics, Queen's University, Kingston, Ontario)

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Abstract

This paper shows that the value function describing efficient risk sharing with limited commitment is not necessarily differentiable everywhere. We link differentiability of the value function to history dependence of efficient allocations and provide sufficient conditions for both properties.

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Publisher Info
Article provided by Berkeley Electronic Press in its journal Topics in Macroeconomics.

Volume (Year): 6 (2006)
Issue (Month): 1 ()
Pages: 1419-1419
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Handle: RePEc:bep:mactop:v:6:y:2006:i:1:p:1419-1419

Note: oai:bepress:bejm-1419
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Related research
Keywords: risk sharing limited commitment differentiability

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Find related papers by JEL classification:
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Kocherlakota, Narayana R, 1996. "Implications of Efficient Risk Sharing without Commitment," Review of Economic Studies, Blackwell Publishing, vol. 63(4), pages 595-609, October. [Downloadable!] (restricted)
  2. Coate, Stephen & Ravallion, Martin, 1993. "Reciprocity without commitment : Characterization and performance of informal insurance arrangements," Journal of Development Economics, Elsevier, vol. 40(1), pages 1-24, February. [Downloadable!] (restricted)
  3. Benveniste, L M & Scheinkman, J A, 1979. "On the Differentiability of the Value Function in Dynamic Models of Economics," Econometrica, Econometric Society, vol. 47(3), pages 727-32, May. [Downloadable!] (restricted)
  4. Ligon, Ethan & Thomas, Jonathan P & Worrall, Tim, 2002. "Informal Insurance Arrangements with Limited Commitment: Theory and Evidence from Village Economies," Review of Economic Studies, Blackwell Publishing, vol. 69(1), pages 209-44, January.
  5. Kehoe, Timothy J & Levine, David K, 2001. "Liquidity Constrained Markets versus Debt Constrained Markets," Econometrica, Econometric Society, vol. 69(3), pages 575-98, May.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Carmona, Guilherme, 2006. "On the Optimality of the Equality Matching Form of Sociality," FEUNL Working Paper Series wp489, Universidade Nova de Lisboa, Faculdade de Economia. [Downloadable!]
  2. Manuel Santos & Juan Pablo Rincon-Zapatero, . "Differentiability of the Value Function without Interiority Assumptions," Working Papers 0704, University of Miami, Department of Economics. [Downloadable!]
    Other versions:
  3. Tessa Bold, 2008. "Implicationsof Endogenous Group Formation for Efficient Risk-Sharing," Economics Series Working Papers 387, University of Oxford, Department of Economics. [Downloadable!]
  4. Fuchs, William & Lippi, Francesco, 2003. "Monetary Union with Voluntary Participation," CEPR Discussion Papers 4122, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
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This page was last updated on 2008-11-13.

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