Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures
AbstractThe overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature to insure existence of Pareto optima and equilibria when short-selling is allowed and investors hold a single belief about future returns, is reconsidered. Investors use measures of risk. The overlapping sets of priors and the Pareto equilibrium conditions introduced by Heath and Ku for coherent risk measures are reinterpreted as a weak no-arbitrage and a weak collective absence of arbitrage conditions and shown to imply existence of Pareto optima and Arrow Debreu equilibria.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number b07068.
Length: 20 pages
Date of creation: Jul 2007
Date of revision:
Contact details of provider:
Postal: 106-112 boulevard de l'Hôpital 75 647 PARIS CEDEX 13
Phone: + 33 44 07 81 00
Fax: + 33 1 44 07 83 01
Web page: http://centredeconomiesorbonne.univ-paris1.fr/
More information through EDIRC
Overlapping sets of priors; collective absence of arbitrage; equilibria with short-selling; risk sharing; measures of risk.;
Other versions of this item:
- Dana, Rose-Anne & Le Van, Cuong, 2010. "Overlapping Sets of Priors and the Existence of Efficient Allocations and Equilibria for Risk Measures," Economics Papers from University Paris Dauphine 123456789/2342, Paris Dauphine University.
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
- D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- G1 - Financial Economics - - General Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-12-01 (All new papers)
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.:
- Werner, Jan, 1987. "Arbitrage and the Existence of Competitive Equilibrium," Econometrica, Econometric Society, vol. 55(6), pages 1403-18, November.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Samet, Dov, 1998.
"Common Priors and Separation of Convex Sets,"
Games and Economic Behavior,
Elsevier, vol. 24(1-2), pages 172-174, July.
- Allouch, Nizar & Le Van, Cuong & Page, Frank Jr., 2002.
"The geometry of arbitrage and the existence of competitive equilibrium,"
Journal of Mathematical Economics,
Elsevier, vol. 38(4), pages 373-391, December.
- Allouch, Nizar & Le Van, Cuong & Page, Jr. Frank H., 2001. "The geometry of arbitrage and the existence of competitive equilibrium," The Warwick Economics Research Paper Series (TWERPS) 598, University of Warwick, Department of Economics.
- Burgert Christian & Rüschendorf Ludger, 2006. "On the optimal risk allocation problem," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 19, July.
- David Heath & Hyejin Ku, 2004. "Pareto Equilibria with coherent measures of risk," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 163-172.
- Green, Jerry R, 1973. "Temporary General Equilibrium in a Sequential Trading Model with Spot and Futures Transactions," Econometrica, Econometric Society, vol. 41(6), pages 1103-23, November.
- Nielsen, Lars Tyge, 1989. "Asset Market Equilibrium with Short-Selling," Review of Economic Studies, Wiley Blackwell, vol. 56(3), pages 467-73, July.
- Hart, Oliver D., 1974. "On the existence of equilibrium in a securities model," Journal of Economic Theory, Elsevier, vol. 9(3), pages 293-311, November.
- Le Van, Cuong & Dana, Rose-Anne, 2010.
"Overlapping Risk Adjusted Sets of Priors and the Existence of Efficient Allocations and Equilibria with Short-Selling,"
Economics Papers from University Paris Dauphine
123456789/5045, Paris Dauphine University.
- Dana, R.A. & Le Van, C., 2010. "Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling," Journal of Economic Theory, Elsevier, vol. 145(6), pages 2186-2202, November.
- Guillaume Carlier & Rose-Anne Dana, 2013. "Pareto optima and equilibria when preferences are incompletely known," Post-Print hal-00661903, HAL.
- Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2013.
"Equilibrium existence in the international asset and good markets,"
2013-003, Department of Research, Ipag Business School.
- Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2013. "Equilibrium existence in the international asset and good markets," Working Papers 16, Development and Policies Research Center (DEPOCEN), Vietnam.
- G. Carlier & R.-A. Dana, 2014. "Pareto optima and equilibria when preferences are incompletely known," Working Papers 2014-060, Department of Research, Ipag Business School.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lucie Label).
If references are entirely missing, you can add them using this form.