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Overlapping Sets of Priors and the Existence of Efficient Allocations and Equilibria for Risk Measures

Dana, Rose-Anne; Le Van, Cuong (2010), Overlapping Sets of Priors and the Existence of Efficient Allocations and Equilibria for Risk Measures, Mathematical Finance, 20, 3, p. 327-339. http://dx.doi.org/10.1111/j.1467-9965.2010.00402.x

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Type
Article accepté pour publication ou publié
Date
2010
Journal name
Mathematical Finance
Volume
20
Number
3
Publisher
Wiley
Pages
327-339
16
Publication identifier
http://dx.doi.org/10.1111/j.1467-9965.2010.00402.x
Metadata
Show full item record
Author(s)
Dana, Rose-Anne
Le Van, Cuong
Abstract (FR)
Dans ce papier, nous reconsidérons les conditions de non-arbitrage collectif de la littérature économique qui assurent l'existence des optima de Pareto et des équilibres quand on permet les ventes à découvert et quand les agents ont une seule croyance sur les états de la nature. Les agents utilisent des mesures de risque. Les conditions introduites par Heath et Ku sur les ensembles de croyances sont interprétées comme une condition de non-arbitrage collectif faible et impliquent l'existence des optima de Pareto et des équilibres du type Arrow-Debreu.
Abstract (EN)
The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature to insure existence of Pareto optima and equilibria with short-selling when investors have a single belief about future returns, is reconsidered. Investors use measures of risk. The overlapping sets of priors and the Pareto equilibrium conditions introduced by Heath and Ku for coherent risk measures are respectively reinterpreted as a weak no-arbitrage and a weak collective absence of arbitrage conditions and shown to imply existence of Pareto optima and Arrow Debreu equilibria.
Subjects / Keywords
Collective absence of arbitrage; Risk Measures; Equilibria with short-selling
JEL
D50 - General
C62 - Existence and Stability Conditions of Equilibrium

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