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The Identification Of Preferences From Market Data Under Uncertainty

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  • Andrés Carvajal

    ()

  • Alvaro Riascos

    ()

Abstract

We show that even under incomplete markets, the equilibrium manifold identifies aggregate demand and individual demands everywhere in their domains. Moreover, under partial observation of the equilibrium manifold, we we construct maximal domains of identification. For this, we assume conditions of smoothness, interiority and regularity, but avoid implausible observational requirements. It is crucial that there be date-zero consumption. As a by-product, we develop some duality theory under incomplete markets.

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File URL: http://economia.uniandes.edu.co/publicaciones/d2005-48.pdf
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Bibliographic Info

Paper provided by UNIVERSIDAD DE LOS ANDES-CEDE in its series DOCUMENTOS CEDE with number 003599.

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Length: 34
Date of creation: 16 Aug 2005
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Handle: RePEc:col:000089:003599

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Cited by:
  1. Carvajal, Andres & Polemarchakis, H.M., 2008. "Identification of Pareto-improving policies: Information as the real invisible hand," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 167-179, January.

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