Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures
The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature to insure existence of Pareto optima and equilibria when short-selling is allowed and investors hold a single belief about future returns, is reconsidered. Investors use measures of risk. The overlapping sets of priors and the Pareto equilibrium conditions introduced by Heath and Ku for coherent risk measures are reinterpreted as a weak no-arbitrage and a weak collective absence of arbitrage conditions and shown to imply existence of Pareto optima and Arrow Debreu equilibria.
|Date of creation:||Jul 2007|
|Date of revision:|
|Note:||View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00188761|
|Contact details of provider:|| Web page: http://hal.archives-ouvertes.fr/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dov Samet, 1997.
"Common Priors and Separation of Convex Sets,"
Game Theory and Information
- Green, Jerry R, 1973. "Temporary General Equilibrium in a Sequential Trading Model with Spot and Futures Transactions," Econometrica, Econometric Society, vol. 41(6), pages 1103-23, November.
- Burgert Christian & Rüschendorf Ludger, 2006. "On the optimal risk allocation problem," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 19, July.
- Allouch, Nizar & Le Van, Cuong & Page, Frank Jr., 2002.
"The geometry of arbitrage and the existence of competitive equilibrium,"
Journal of Mathematical Economics,
Elsevier, vol. 38(4), pages 373-391, December.
- Allouch, Nizar & Le Van, Cuong & Page, Jr. Frank H., 2001. "The geometry of arbitrage and the existence of competitive equilibrium," The Warwick Economics Research Paper Series (TWERPS) 598, University of Warwick, Department of Economics.
- Hart, Oliver D., 1974. "On the existence of equilibrium in a securities model," Journal of Economic Theory, Elsevier, vol. 9(3), pages 293-311, November.
- Werner, Jan, 1987. "Arbitrage and the Existence of Competitive Equilibrium," Econometrica, Econometric Society, vol. 55(6), pages 1403-18, November.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Nielsen, Lars Tyge, 1989. "Asset Market Equilibrium with Short-Selling," Review of Economic Studies, Wiley Blackwell, vol. 56(3), pages 467-73, July.
- David Heath & Hyejin Ku, 2004. "Pareto Equilibria with coherent measures of risk," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 163-172.
When requesting a correction, please mention this item's handle: RePEc:hal:cesptp:halshs-00188761. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD)
If references are entirely missing, you can add them using this form.