Restrictions and identification in a multidimensional risk-sharing problem
We consider H expected utility maximizers that have to share a risky aggregate multivariate endowment X∈RN and address the following two questions: does efficient risk-sharing imply restrictions on the form of individual consumptions as a function of X ? Can one identify the individual utility functions from the observation of the risk-sharing? We show that when H≥2NN−1 efficient risk sharings have to satisfy a system of nonlinear PDEs. Under an additional rank condition, we prove an identification theorem.
|Date of creation:||2014|
|Date of revision:|
|Publication status:||Published in Economic theory, 2014, Vol. 56, no. 2. pp. 409-423.Length: 14 pages|
|Contact details of provider:|| Web page: http://www.dauphine.fr/en/welcome.html|
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