We study a two-player, zero-sum, stochastic game with incomplete information on one side in which the players are allowed to play more and more frequently. The informed player observes the realization of a Markov chain on which the payoffs depend, while the non-informed player only observes his...

The competitive equilibrium correspondence, which associates equilibrium prices of commodities and assets with allocations of endowments, identifies the preferences and beliefs of individuals under uncertainty; this is the case even if the asset market is incomplete.

We propose a multivariate extension of a well-known characterization by S. Kusuoka of regular and coherent risk measures as maximal correlation functionals. This involves an extension of the notion of comonotonicity to random vectors through generalized quantile functions. Moreover, we propose...

We introduce a bond portfolio management theory based on foundations similar to those of stock portfolio management. A general continuous-time zero-coupon market is considered. The problem of optimal portfolios of zero-coupon bonds is solved for general utility functions, under a condition of...

This paper considers the identification and estimation of hedonic models. We establish that in an additive version of the hedonic model, technology and preferences are generically nonparametrically identified from data on demand and supply in a single hedonic market. The empirical literature...

We are given a list of tasks Z and a population divided into several groups X j of equal size. Performing one task z requires constituting a team with exactly one member x j from every group. There is a cost (or reward) for participation: if type x j chooses task z, he receives p j (z);...

We adopt viability theory to assess the sustainability of the world’s forests while taking into account some of the competing economic, social, and environmental uses of these forests, namely, timber production, poverty alleviation through agriculture, and air quality as well as the negative...