Restrictions and identification in a multidimensional risk-sharing problem
AbstractWe consider H expected utility maximizers that have to share a risky aggregate multivariate endowment X∈RN and address the following two questions: does efficient risk-sharing imply restrictions on the form of individual consumptions as a function of X ? Can one identify the individual utility functions from the observation of the risk-sharing? We show that when H≥2NN−1 efficient risk sharings have to satisfy a system of nonlinear PDEs. Under an additional rank condition, we prove an identification theorem.
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Bibliographic InfoPaper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/12413.
Date of creation: 2014
Date of revision:
Publication status: Published in Economic theory, 2014, Vol. 56, no. 2. pp. 409-423.Length: 14 pages
Multidimensional risk-sharing; Restrictions; Identification;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- D61 - Microeconomics - - Welfare Economics - - - Allocative Efficiency; Cost-Benefit Analysis
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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