Differentiability of the Efficient Frontier when Commitment to Risk Sharing is Limited
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.
|Date of creation:||Dec 2004|
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- repec:bla:restud:v:69:y:2002:i:1:p:209-44 is not listed on IDEAS
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Levine's Working Paper Archive
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- Ethan Ligon & Jonathan P. Thomas & Tim Worrall, 2002.
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Review of Economic Studies,
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- Benveniste, L M & Scheinkman, J A, 1979. "On the Differentiability of the Value Function in Dynamic Models of Economics," Econometrica, Econometric Society, vol. 47(3), pages 727-32, May.
- Coate, Stephen & Ravallion, Martin, 1993. "Reciprocity without commitment : Characterization and performance of informal insurance arrangements," Journal of Development Economics, Elsevier, vol. 40(1), pages 1-24, February.
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