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On optimality in intergenerational risk sharing
Demange, Gabrielle - HAL - 2001
This paper defines and studies optimality in a dynamic stochastic economy with finitely lived agents, and investigates … the optimality properties of an equilibrium with or without sequentially complete markets. Various Pareto optimality … concepts are considered, including interim and ex ante optimality. We show that, at an equilibrium with a productive asset …
Persistent link: https://www.econbiz.de/10008923109
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Arbitrage pricing and equilibrium pricing : compatibility conditions
Jouini, Elyès; Napp, Clotilde - HAL - 2002
The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price processes. In the more...
Persistent link: https://www.econbiz.de/10008792950
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An Axiomatic Approach to Proportionality between Matrices
Balinski, Michel; Demange, Gabrielle - HAL - 1989
Given a matrix p ≥ 0 what does it mean to say that a matrix f (of the same dimension), whose row and column sums must fall between specific limits, is "proportional to" p? This paper gives an axiomatic solution to this question in two distinct contexts. First, for any real "allocation" matrix...
Persistent link: https://www.econbiz.de/10010898972