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Constrained efficiency without commitment

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Date
2015
Link to item file
https://hal.archives-ouvertes.fr/hal-01097121
Dewey
Economie financière
Sujet
Limited commitment; Constrained pareto efficiency; High implied interest rates
JEL code
G1
Journal issue
Journal of Mathematical Economics
Volume
61
Publication date
2015
Article pages
276–286
Publisher
Elsevier
DOI
http://dx.doi.org/10.1016/j.jmateco.2015.09.010
URI
https://basepub.dauphine.fr/handle/123456789/15837
Collections
  • CEREMADE : Publications
Metadata
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Author
Martins-da-Rocha, Victor-Filipe
Vailakis, Yiannis
Type
Article accepté pour publication ou publié
Abstract (EN)
We consider an infinite horizon economy where agents share income risks by trading a complete set of contingent claims but cannot commit to their promises. Allocations are restricted to be self-enforcing relative to autarchic reservation utilities. We provide a general characterization of constrained Pareto efficiency without assuming that there are uniform gains to trade. Our results extend those in Bloise and Reichlin (2011) in several aspects.

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