The no-trade interval of Dow and Werlang: Some clarifications

The aim of this paper is two-fold: first, to emphasize that the seminal result of Dow and Werlang (1992) remains valid under weaker conditions, and this even if non-positive prices are considered, or equally that the no-trade interval result is robust when considering assets which can yield non-positive outcomes. Second, to make precise the weak uncertainty aversion behavior characteristic of the existence of such an interval.

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Year of publication:	2010
Authors:	Chateauneuf, Alain ; Ventura, Caroline
Published in:	Mathematical Social Sciences. - Elsevier, ISSN 0165-4896. - Vol. 59.2010, 1, p. 1-14
Publisher:	Elsevier
Keywords:	Decision theory Choquet expected utility No-trade interval Perfect hedging Comonotone diversification Capacity

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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