The no-trade interval of Dow and Werlang : some clarifications
AbstractThe aim of this paper is two-fold : first, to emphasize that the seminal result of Dow and Werlang  remains valid under weaker conditions and this even if non-positive prices are considered, or equally that the no-trade interval result is robust when considering assets which can yield non-positive outcomes, second to make precise the weak uncertainty aversion behavior characteristic of the existence of such an interval.
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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 b08065.
Length: 20 pages
Date of creation: Jul 2008
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Choquet expected utility; no-trade interval; perfect hedging; comonotone diversification; capacity.;
Other versions of this item:
- Chateauneuf, Alain & Ventura, Caroline, 2010. "The no-trade interval of Dow and Werlang: Some clarifications," Mathematical Social Sciences, Elsevier, vol. 59(1), pages 1-14, January.
- Alain Chateauneuf & Caroline Ventura, 2009. "The no-trade interval of Dow and Werlang : some clarifications," Documents de travail du Centre d'Economie de la Sorbonne 09083, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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