We define a coherent risk measures as set-valued maps satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner, Delbaen, Eber and Heath (1998). We then discuss the aggregation issue, i.e. the passage from valued random...

We define a coherent risk measures as set-valued maps satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner, Delbaen, Eber and Heath (1998). We then discuss the aggregation issue, i.e. the passage from valued random...

In this paper we generalize Magill and Shafer (1990) analysis of generically complete markets in the presence of open ended horizon. Doing this we are faced with difficulties specific to the presence of infinitely many periods. Until now these difficulties did not allow any satisfactory...

We define a coherent risk measures as set-valued maps satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner, Delbaen, Eber and Heath (1998). We then discuss the aggregation issue, i.e. the passage from valued random...

The purpose of the paper is to introduce a tighter definition for the marginal pricing rule. By means of an example, we illustrate the improvements that one gets with the new definition with respect to the former one with the Clarke's normal come.

In this paper, we present a more simple and independent proof of Reny's theorem (1998), on the existence of a Nash equilibrium in discontinue game, with a better-reply secure game in a Hausdorff topological vector space stronger than Reny's one. We will get the equivalence if the payoff function...

In a stochastic financial exchange economy, two financial structures are equivalent if, for each given state price, regardless the associated arbitrage free price, the marketable payoffs are identical. The key property of two equivalent financial structures is that, when associated with any...

We consider a pure exchange overlapping generations economy with finitely many commodities and consumers per period having possibly non-complete non transitive preferences. We provide a geometric and direct proof of the Balasko-Shell characterization of Pareto optimal allocation. To avoid some...

Two financial structures are equivalent if, for each given state price, the images of their full payoff matrices of these financial structures are equal. The main consequence of this definition is that, regardless of the standard exchange economy ?, the existence of a financial equilibrium in an...

We consider a family of exchange economies where consumers have multiprior preferences representing their ambiguity aversion. Under a linear independence assumption, we prove that regular economies are generic. Regular economies exhibit enjoyable properties: odd finite number of equilibrium...