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Risque microéconomique et prix d'actifs dans un modèle d'équilibre général avec espérance d'utilité dépendante du rang

Author

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  • Jean-Marc Tallon

    () (M.A.D. - UP1 - Université Panthéon-Sorbonne)

Abstract

We study a general equilibrium model with micro-economic risk in which agents maximize an rand-dependent-expected-utility. Financial markets are complete. Under the assumption of weak risk aversion, all agents are prefectly insured at equilibrium. If, furthermore, agents are strongly risk averse, assets prices are indeterminate. We characterize the set of equilibrium asset prices.

Suggested Citation

  • Jean-Marc Tallon, 1997. "Risque microéconomique et prix d'actifs dans un modèle d'équilibre général avec espérance d'utilité dépendante du rang," Post-Print halshs-00502512, HAL.
  • Handle: RePEc:hal:journl:halshs-00502512
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00502512
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    Cited by:

    1. Wigniolle, B., 2014. "Optimism, pessimism and financial bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 188-208.
    2. repec:hal:cesptp:halshs-00673892 is not listed on IDEAS
    3. Trabelsi, Mohamed Ali, 2006. "Les nouveaux modèles de décision dans le risque et l’incertain : quel apport ?
      [The new models of decision under risk or uncertainty : What approach?]
      ," MPRA Paper 25442, University Library of Munich, Germany.
    4. Trabelsi, Mohamed Ali, 2008. "Les nouveaux modèles de décision dans le risque et l’incertain : quel apport ?
      [The new models of decision under risk or uncertainty: What approach?]
      ," MPRA Paper 83347, University Library of Munich, Germany, revised 2008.
    5. Trabelsi, Mohamed Ali, 2006. "Les Nouveaux Modèles de Décision dans le Risque et l’Incertain : Quel Apport ?
      [The New Models of Decision Under Risk or Uncertainty : What Approach?]
      ," MPRA Paper 76954, University Library of Munich, Germany.
    6. André De Palma & Nathalie Picard & Jean-Luc Prigent, 2009. "Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID," Working Papers hal-00418892, HAL.
    7. Bertrand Wigniolle, 2012. "Optimism, pessimism and financial bubbles," Post-Print halshs-00673892, HAL.
    8. Trabelsi, Mohamed Ali, 2019. "The new models of decision in risk: A review of the critical literature," MPRA Paper 92693, University Library of Munich, Germany, revised 2019.

    More about this item

    Keywords

    modèle d'équilibre général;

    JEL classification:

    • D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models

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