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hal.structure.identifier
dc.contributor.authorLe Van, Cuong*
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorDana, Rose-Anne
HAL ID: 12658
*
dc.date.accessioned2014-07-10T08:19:27Z
dc.date.available2014-07-10T08:19:27Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13694
dc.language.isoenen
dc.subjectIncomplete preferencesen
dc.subjectEquilibrium with short-sellingen
dc.subjectNo arbitrageen
dc.subjectRisk adjusted prioren
dc.subjectRisken
dc.subjectUncertaintyen
dc.subject.ddc332en
dc.subject.classificationjelG1en
dc.subject.classificationjelD84en
dc.subject.classificationjelD81en
dc.subject.classificationjelD50en
dc.subject.classificationjelC62en
dc.titleEfficient allocations and equilibria with short-selling and incomplete preferencesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis 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 ambiguity. Agents have Bewley’s incomplete preferences. As an inertia principle is assumed in markets, equilibria are individually rational. It is shown that a necessary and sufficient condition for the existence of an individually rational efficient allocation or of an equilibrium is that the relative interiors of the risk adjusted sets of probabilities intersect. The more risk averse, the more ambiguity averse the agents, the more likely is an equilibrium to exist. The paper then turns to incomplete preferences represented by a family of concave utility functions. Several definitions of efficiency and of equilibrium with inertia are considered. Sufficient conditions and necessary and sufficient conditions are given for the existence of efficient allocations and equilibria with inertia.en
dc.relation.isversionofjnlnameJournal of Mathematical Economics
dc.relation.isversionofjnlvol53en
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpages101-105en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.jmateco.2014.06.003en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
hal.author.functionaut
hal.author.functionaut


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