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In this note, we study the problem of existence, uniqueness and determinacy of equilibrium in the two period mean-variance C.A.P.M. with a riskless asset and possibly an infinite number of assets. The existence, uniqueness and determinacy problem is brought down to a two-dimensional problem. We...
Persistent link: https://www.econbiz.de/10010861467
We study a dynamic and in nite{dimensional model with Knightian uncertainty modeled by incomplete multiple prior preferences. In in- terior e cient allocations, agents share a common risk{adjusted prior and use the same subjective interest rate. Interior e cient alloca- tions and equilibria...
Persistent link: https://www.econbiz.de/10010861585
Persistent link: https://www.econbiz.de/10010799306
This paper reconsiders the theory of existence of efficient allocations and equilibria when consumption sets are unbounded below under the assumption that agents have incomplete preferences. Our model is motivated by an example in the theory of assets with short-selling where there is risk and...
Persistent link: https://www.econbiz.de/10010799311
Persistent link: https://www.econbiz.de/10010799318
This paper studies efficient risk-sharing rules for the concave dominance order. For a univariate risk, it follows from a comonotone dominance principle, due to Landsberger and Meilijson (1994) [27], that efficiency is characterized by a comonotonicity condition. The goal of the paper is to...
Persistent link: https://www.econbiz.de/10010706660
In the last forty years, the theory of financial markets has become a growing field of interest for academics as well as for practitioners. We present here an overview of the main topics.
Persistent link: https://www.econbiz.de/10010706711
We consider the problem of efficient insurance contracts when the cost structure includes a fixed cost per claim. We prove existence of efficient insurance contracts and that the indemnity function in such contracts is non-decreasing in the damage. We further show that either there is no...
Persistent link: https://www.econbiz.de/10010706923
This paper provides an existence theorem for a class of infinite-dimensional non-convex problems arising in symmetric and asymmetric information models. Sufficient conditions for monotonicity of solutions are also given. The proofs are very simple and rely on rearrangement techniques and the...
Persistent link: https://www.econbiz.de/10010706931
The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature to insure existence of Pareto optima and equilibria with short-selling when investors have a single belief about future returns, is reconsidered. Investors use measures of risk....
Persistent link: https://www.econbiz.de/10010707106