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Surprise and default in general equilibrium
Teeple, Keisuke - In: Theoretical Economics 18 (2023) 4, pp. 1547-1583
I model an incomplete markets economy where unaware agents do not perceive all states of nature, so unintended default … can occur when asset returns differ from what was perceived. The presence of default plays a crucial role in the proof of … delivery-adjusted asset returns. The First Fundamental Welfare Theorem fails because of default and pecuniary inefficiencies …
Persistent link: https://www.econbiz.de/10014537040
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Optimal delegated search with adverse selection and moral hazard
Ulbricht, Robert - In: Theoretical Economics 11 (2016) 1, pp. 253-278
The paper studies a model of delegated search. The distribution of search revenues is unknown to the principal and has to be elicited from the agent in order to design the optimal search policy. At the same time, the search process is unobservable, requiring search to be self-enforcing. The two...
Persistent link: https://www.econbiz.de/10011599569
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Optimal delegated search with adverse selection and moral hazard
Ulbricht, Robert - In: Theoretical Economics (2015)
The paper studies a model of delegated search. The distribution of search revenues is unknown to the principal and has to be elicited from the agent in order to design the optimal search policy. At the same time, the search process is unobservable, requiring search to be self-enforcing. The two...
Persistent link: https://www.econbiz.de/10011157218
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Incomplete markets with no Hart points
Anderson, Robert M.; Raimondo, Roberto C. - In: Theoretical Economics 2 (2007) 2, pp. 115-133
We provide a geometric test of whether a general equilibrium incomplete markets (GEI) economy has Hart points---points at which the rank of the securities payoff matrix drops. Condition (H) says that, at each nonterminal node, there is an affine set (of appropriate dimension) that intersects all...
Persistent link: https://www.econbiz.de/10011599384
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Ergodic Markov equilibrium with incomplete markets and short sales
Braido, Luis H. B. - In: Theoretical Economics 8 (2013) 1, pp. 41-57
This paper studies recursive exchange economies with short sales. Agents maximize discounted expected utility. The asset structure is general and includes real securities, infinite-lived stocks, options, and other derivatives. The main result shows the existence of a competitive equilibrium...
Persistent link: https://www.econbiz.de/10011599475
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Sustainable debt
Bloise, Gaetano; Polemarchakis, Heraklis M.; Vailakis, Y. - In: Theoretical Economics 16 (2021) 4, pp. 1513-1555
We show that debt is sustainable at a competitive equilibrium based solely on the reputation for repayment; that is, even without collateral or legal sanctions available to creditors. In an incomplete asset market, when the rate of interest falls recurrently below the rate of growth of the...
Persistent link: https://www.econbiz.de/10013189073
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Ergodic Markov equilibrium with incomplete markets and short sales
Braido, Luis H. B. - In: Theoretical Economics 8 (2013) 1
This paper studies recursive exchange economies with short sales. Agents maximize discounted expected utility. The asset structure is general and includes real securities, infinite-lived stocks, options, and other derivatives. The main result shows the existence of a competitive equilibrium...
Persistent link: https://www.econbiz.de/10009395397
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Incomplete markets with no Hart points
Anderson, Robert M.; Raimondo, Roberto C. - In: Theoretical Economics 2 (2007) 2
We provide a geometric test of whether a general equilibrium incomplete markets (GEI) economy has Hart points---points at which the rank of the securities payoff matrix drops. Condition (H) says that, at each nonterminal node, there is an affine set (of appropriate dimension) that intersects all...
Persistent link: https://www.econbiz.de/10005730974
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Maximal revenue with multiple goods: nonmonotonicity and other observations
Reny, Philip J.; Hart, Sergiu - In: Theoretical Economics 10 (2015) 3, pp. 893-922
Consider the problem of maximizing the revenue from selling a number of goods to a single buyer. We show that, unlike the case of one good, when the buyer's values for the goods increase the seller's maximal revenue may well decrease. We then identify two circumstances where monotonicity does...
Persistent link: https://www.econbiz.de/10011599558
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Maximal revenue with multiple goods: nonmonotonicity and other observations
Reny, Philip J.; Hart, Sergiu - In: Theoretical Economics (2014)
Consider the problem of maximizing the revenue from selling a number of goods to a single buyer. We show that, unlike the case of one good, when the buyer's values for the goods increase the seller's maximal revenue may well decrease. We then identify two circumstances where monotonicity does...
Persistent link: https://www.econbiz.de/10010940429