Differentiability of the Efficient Frontier when Commitment to Risk Sharing is Limited
This paper shows that the value function describing efficient risk sharing with limited commitment is not necessarily differentiable everywhere. We link differentiability of the value function to history dependence of efficient allocations and provide sufficient conditions for both properties.
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Volume (Year): 6 (2006)
Issue (Month): 1 (April)
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References listed on IDEAS
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- Narayana Kocherlakota, 2010. "Implications of Efficient Risk Sharing Without Commitment," Levine's Working Paper Archive 2053, David K. Levine.