In this paper we generalize the concept of a non-transferable utility game by introducing the concept of a socially structured game. A socially structured game is given by a set of players, a possibly empty collection of internal organizations on any subset of players, for any internal...

In general equilibrium models of financial markets, the cpital asset pricing formula does not hold when agents have von Neumann-Morgenstern utility with constant relative risk aversion. In this paper we examine under which conditions on endownments and dividens the pricing formula provides a...

There is a growing body of research in economics that studies the consequences of time-inconsistent preferences. This paper introduces time-inconsistent preferences in a general equilibrium setting. We discuss how the standard notion of competitive equilibrium should be extended in order to...

There is an extensive litarature claiming that it is often difficult to make use of arbitrage opportunities in financial markets. This paper provides a new reason why existing arbitrage opportunities might not be seized. We consider a world with short-lived securities, no short-selling...

We consider the well-known result of Arrow (1953) that the set of equilibria of an economy with complete markets coincides with the one of an economy with sequentially complete markets. We show by means of two examples that this results is problematic when there exist multiple equilibrium...

Stochastic games offer a rich mathematical structure that makes it possible to analyze situations with heterogeneous and interacting economic agents. Depending on the actions of the economic agents, the economic environment changes from one period to another. We focus on stationary equilibrium,...

In this paper we present a new iterative auction, the bisection auction, that can be used for the sale of a single indivisable object. We will show that the bisection auction is computationally more efficient than the classical English auction while it still preserves all characteristics the...