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The Identification of Preferences from Equilibrium Prices under Uncertainty

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  • Kubler, F.
  • Chiappori, P. -A.
  • Ekeland, I.
  • Polemarchakis, H. M.

Abstract

The competitive equilibrium correspondence, which associates equilibrium prices of commodities and assets with allocations of endowments, identifies the preferences and beliefs of individuals under uncertainty; this is the case even if the asset market is incomplete.
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Suggested Citation

  • Kubler, F. & Chiappori, P. -A. & Ekeland, I. & Polemarchakis, H. M., 2002. "The Identification of Preferences from Equilibrium Prices under Uncertainty," Journal of Economic Theory, Elsevier, vol. 102(2), pages 403-420, February.
    • Handle: RePEc:eee:jetheo:v:102:y:2002:i:2:p:403-420
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    as
    1. P. Jean-Jacques Herings & Herakles Polemarchakis, 2006. "Pareto Improving Price Regulation when the Asset Market is Incomplete," Studies in Economic Theory, in: Christian Schultz & Karl Vind (ed.), Institutions, Equilibria and Efficiency, chapter 12, pages 225-244, Springer.
    2. Pierre-André Chiappori & Ivar Ekeland & Felix Kübler & Heracles M. Polemarchakis, 1999. "The Identification of Preferences from Equilibrium Prices," Working Papers hal-00598229, HAL.
    3. Mantel, Rolf R., 1974. "On the characterization of aggregate excess demand," Journal of Economic Theory, Elsevier, vol. 7(3), pages 348-353, March.
    4. Piero Gottardi & Andreu Mas-Colell, 1999. "A Note on the Decomposition (at a Point) of Aggregate Excess Demand on the Grassmannian," Working Papers 99-11, Brown University, Department of Economics.
    5. Geanakoplos, J. D. & Polemarchakis, H. M., 1990. "Observability and optimality," Journal of Mathematical Economics, Elsevier, vol. 19(1-2), pages 153-165.
    6. Polemarchakis, H. M. & Rose, D., 1984. "Another proposition on the recoverability of cardinal utility," Journal of Economic Theory, Elsevier, vol. 34(1), pages 164-168, October.
    7. Donsimoni, M. -P. & Polemarchakis, H. M., 1994. "Redistribution and welfare," Journal of Mathematical Economics, Elsevier, vol. 23(3), pages 235-242, May.
    8. Debreu, Gerard, 1972. "Smooth Preferences," Econometrica, Econometric Society, vol. 40(4), pages 603-615, July.
    9. Philip Dybvig & Heraklis Polemarchakis, 1981. "Recovering Cardinal Utility," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 48(1), pages 159-166.
    10. Bottazzi, Jean-Marc & Hens, Thorsten, 1996. "Excess Demand Functions and Incomplete Markets," Journal of Economic Theory, Elsevier, vol. 68(1), pages 49-63, January.
    11. P. A. Chiappori & I. Ekeland, 1999. "Aggregation and Market Demand: An Exterior Differential Calculus Viewpoint," Econometrica, Econometric Society, vol. 67(6), pages 1435-1458, November.
    12. Donald J. Brown & Rosa L. Matzkin, 2008. "Testable Restrictions on the Equilibrium Manifold," Lecture Notes in Economics and Mathematical Systems, in: Computational Aspects of General Equilibrium Theory, pages 11-25, Springer.
    13. Kubler, F. & Chiappori, P. -A. & Ekeland, I. & Polemarchakis, H. M., 2002. "The Identification of Preferences from Equilibrium Prices under Uncertainty," Journal of Economic Theory, Elsevier, vol. 102(2), pages 403-420, February.
    14. Debreu, Gerard, 1976. "Smooth Preferences: A Corrigendum," Econometrica, Econometric Society, vol. 44(4), pages 831-832, July.
    15. Paul A. Samuelson, 1956. "Social Indifference Curves," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 70(1), pages 1-22.
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    17. John Geanakoplos & Heracles M. Polemarchakis, 1985. "Existence, Regularity, and Constrained Suboptimality of Competitive Allocations When the Asset Market Is Incomplete," Cowles Foundation Discussion Papers 764, Cowles Foundation for Research in Economics, Yale University.
    18. Sonnenschein, Hugo, 1973. "Do Walras' identity and continuity characterize the class of community excess demand functions?," Journal of Economic Theory, Elsevier, vol. 6(4), pages 345-354, August.
    19. Green, Jerry R. & Scheinkman, Josè Alexandre (ed.), 1979. "General Equilibrium, Growth, and Trade," Elsevier Monographs, Elsevier, edition 1, number 9780122987502.
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    21. McLennan, Andrew, 1979. "Examples of Von Neumann-Morgenstern utility functions not recoverable from asset demands," Economics Letters, Elsevier, vol. 3(2), pages 149-152.
    22. Radner, Roy, 1972. "Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets," Econometrica, Econometric Society, vol. 40(2), pages 289-303, March.
    23. Polemarchakis, H. M., 1983. "Observable probabilistic beliefs," Journal of Mathematical Economics, Elsevier, vol. 11(1), pages 65-75, January.
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    25. repec:dau:papers:123456789/6360 is not listed on IDEAS
    26. Hart, Oliver D., 1975. "On the optimality of equilibrium when the market structure is incomplete," Journal of Economic Theory, Elsevier, vol. 11(3), pages 418-443, December.
    27. David Cass & Alessandro Citanna, 1998. "Pareto improving financial innovation in incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 11(3), pages 467-494.
    28. Chiappori, Pierre-Andre & Ekeland, Ivar, 1999. "Disaggregation of excess demand functions in incomplete markets1," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 111-129, February.
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    Cited by:

    1. Geanakoplos, John & Polemarchakis, H.M., 2008. "Pareto improving taxes," Journal of Mathematical Economics, Elsevier, vol. 44(7-8), pages 682-696, July.
    2. Chiappori, P. -A. & Ekeland, I. & Kubler, F. & Polemarchakis, H. M., 2004. "Testable implications of general equilibrium theory: a differentiable approach," Journal of Mathematical Economics, Elsevier, vol. 40(1-2), pages 105-119, February.
    3. Andrés Carvajal & Alvaro Riascos, 2004. "Global identification from the equilibrium manifold under incomplete markets," Royal Holloway, University of London: Discussion Papers in Economics 04/30, Department of Economics, Royal Holloway University of London, revised Nov 2004.
    4. Kubler, F. & Chiappori, P. -A. & Ekeland, I. & Polemarchakis, H. M., 2002. "The Identification of Preferences from Equilibrium Prices under Uncertainty," Journal of Economic Theory, Elsevier, vol. 102(2), pages 403-420, February.
    5. Chiappori, P.A. & Ekeland, I., 2006. "The micro economics of group behavior: General characterization," Journal of Economic Theory, Elsevier, vol. 130(1), pages 1-26, September.
    6. Andrés Carvajal & Alvaro Riascos, 2005. "The Identification Of Preferences From Market Data Under Uncertainty," Documentos CEDE 3599, Universidad de los Andes, Facultad de Economía, CEDE.
    7. Felix Kübler & Herakles Polemarchakis, 2017. "The Identification of Beliefs From Asset Demand," Econometrica, Econometric Society, vol. 85, pages 1219-1238, July.
    8. Gael Giraud & Isabelle Maret, 2001. "Behavioral Heterogeneity in Large Economies," Working Papers of BETA 2001-08, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    9. Pierre‐André Chiappori & Bernard Salanié & François Salanié & Amit Gandhi, 2019. "From Aggregate Betting Data to Individual Risk Preferences," Econometrica, Econometric Society, vol. 87(1), pages 1-36, January.
    10. Tirelli, Mario, 2006. "The evaluation of public investments under uncertainty," Research in Economics, Elsevier, vol. 60(4), pages 188-198, December.
    11. Carvajal, Andres & Ray, Indrajit & Snyder, Susan, 2004. "Equilibrium behavior in markets and games: testable restrictions and identification," Journal of Mathematical Economics, Elsevier, vol. 40(1-2), pages 1-40, February.
    12. Ekeland, Ivar & Guesnerie, Roger, 2010. "The geometry of global production and factor price equalisation," Journal of Mathematical Economics, Elsevier, vol. 46(5), pages 666-690, September.
    13. Andrés Carvajal, 2010. "The testable implications of competitive equilibrium in economies with externalities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 349-378, October.
    14. Marek Weretka, 2019. "Normative inference in efficient markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 68(4), pages 787-810, November.
    15. Herakles Polemarchakis, 2015. "Markets and Efficiency," The Japanese Economic Review, Japanese Economic Association, vol. 66(2), pages 150-166, June.
    16. Felix Kubler, 2008. "Observable Restrictions of General Equilibrium Models with Financial Markets," Lecture Notes in Economics and Mathematical Systems, in: Computational Aspects of General Equilibrium Theory, pages 93-108, Springer.
    17. Gael GIRAUD & Isabelle MARET, 2002. "Modelling Behavioral Heterogeneity," Working Papers of BETA 2002-22, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    18. Carvajal, Andres & Polemarchakis, H.M., 2008. "Identification of Pareto-improving policies: Information as the real invisible hand," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 167-179, January.

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    More about this item

    JEL classification:

    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General

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