IDEAS home Printed from https://ideas.repec.org/p/ags/quedwp/273519.html

Differentiability of the Efficient Frontier when Commitment to Risk Sharing is Limited

Author

Listed:
  • Koeppl, Thorsten

Abstract

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.

Suggested Citation

  • Koeppl, Thorsten, 2004. "Differentiability of the Efficient Frontier when Commitment to Risk Sharing is Limited," Queen's Economics Department Working Papers 273519, Queen's University - Department of Economics.
    • Handle: RePEc:ags:quedwp:273519
    DOI: 10.22004/ag.econ.273519
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/273519/files/qed_wp_1049.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.273519?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. is not listed on IDEAS
    2. Marimon, Ramon & Werner, Jan, 2021. "The envelope theorem, Euler and Bellman equations, without differentiability," Journal of Economic Theory, Elsevier, vol. 196(C).
    3. Lippi, Francesco & Fuchs, William, 2003. "Monetary Union with Voluntary Participation," CEPR Discussion Papers 4122, C.E.P.R. Discussion Papers.
    4. Popov, Latchezar, 2016. "Stochastic costly state verification and dynamic contracts," Journal of Economic Dynamics and Control, Elsevier, vol. 64(C), pages 1-22.
    5. Pierre Dubois & Bruno Jullien & Thierry Magnac, 2008. "Formal and Informal Risk Sharing in LDCs: Theory and Empirical Evidence," Econometrica, Econometric Society, vol. 76(4), pages 679-725, July.
    6. Rincón-Zapatero, Juan Pablo & Santos, Manuel S., 2009. "Differentiability of the value function without interiority assumptions," Journal of Economic Theory, Elsevier, vol. 144(5), pages 1948-1964, September.
    7. Huang, Pidong, 2013. "Optimal Unemployment Insurance With Different Types of Job," MPRA Paper 46626, University Library of Munich, Germany.
    8. Neele Balke & Thibaut Lamadon, 2022. "Productivity Shocks, Long-Term Contracts, and Earnings Dynamics," American Economic Review, American Economic Association, vol. 112(7), pages 2139-2177, July.
    9. Andrew Clausen & Carlo Strub, 2012. "Envelope theorems for non-smooth and non-concave optimization," ECON - Working Papers 062, Department of Economics - University of Zurich.
    10. Guilherme Carmona, 2006. "On the optimality of the equality matching form of sociality," Nova SBE Working Paper Series wp489, Universidade Nova de Lisboa, Nova School of Business and Economics.
    11. Tessa Bold, 2008. "Implications of Endogenous Group Formation for Efficient Risk-Sharing," Economics Series Working Papers 387, University of Oxford, Department of Economics.
    12. Thibaut Lamadon, 2014. "Productivity Shocks, Dynamic Contracts and Income Uncertainty," 2014 Meeting Papers 243, Society for Economic Dynamics.
    13. Kai Arvai, 2021. "The Political Economy of Currency Unions," Working papers 850, Banque de France.

    More about this item

    Keywords

    ;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:quedwp:273519. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/qedquca.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.