This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Rose-Anne Dana () (CEREMADE, Université Paris-Dauphine)
Cuong Le Van () (Centre d'Economie de la Sorbonne)
Abstract

The 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 Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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.

File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2007/B07068.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper 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.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 20 pages
Date of creation: Jul 2007
Date of revision:
Handle: RePEc:mse:cesdoc:b07068

Contact details of provider:
Web page: http://ces.univ-paris1.fr/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Jacqueline Pradel).

Related research
Keywords: Overlapping sets of priors; collective absence of arbitrage; equilibria with short-selling; risk sharing; measures of risk.;

Find related papers by JEL classification:
C62 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - 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:

Statistics
Access and download statistics

Did you know? Use the JEL tree to browse through the database by subfields.

This page was last updated on 2010-1-5.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.