• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail - No thumbnail

No-arbitrage, overlapping sets of priors and the existence of efficient allocations and equilibria in the presence of risk and ambiguity

Dana, Rose-Anne; Le Van, Cuong (2008), No-arbitrage, overlapping sets of priors and the existence of efficient allocations and equilibria in the presence of risk and ambiguity. https://basepub.dauphine.fr/handle/123456789/3162

Type
Document de travail / Working paper
External document link
https://halshs.archives-ouvertes.fr/halshs-00281582
Date
2008
Series title
Centre d'économie de la Sorbonne
Series number
2008.39
Pages
30
Metadata
Show full item record
Author(s)
Dana, Rose-Anne
Le Van, Cuong
Abstract (FR)
Nous considérons de nouveau le problème de l'existence d'équilibre avec ventes à découvert mais avec risques et ambiguité. Nous donnons une condition suffisante d'existence d'allocations efficaces : les agents ont au moins une anticipation ajustée commune. Cette condition assure également qu'il n'existe pas d'échanges mutuellement compatibles entre les agents qui ne détériorent pas l'utilité d'au moins un d'entre eux. Nous montrons que plus les agents sont averses au risque et/ou averses à l'incertitude, plus les allocations efficaces ont des chances d'exister.
Abstract (EN)
The theory of existence of equilibrium with short-selling is reconsidered under risk and ambiguity modelled by risk averse variational preferences. A sufficient condition for existence of efficient allocations is that the relative interiors of the risk adjusted sets of expectations overlap. This condition is necessary if agents are not risk neutral at extreme levels of wealths either positive or negative. It is equivalent to the condition that there does not exist mutually compatible trades, with non negative expected value with respect to any risk adjusted prior, strictly positive for some agent and some prior. It is shown that the more uncertainty averse and the more risk averse, the more likely are efficient allocations and equilibria to exist.
Subjects / Keywords
Croyance commune; Incertitude; Uncertainty; Equilibria with Short-Selling; Risk; Préférences variationnelles; Variational Preferences; Common Prior; Equilibre avec ventes à découvert; Risque
JEL
D84 - Expectations; Speculations
D81 - Criteria for Decision-Making under Risk and Uncertainty
C62 - Existence and Stability Conditions of Equilibrium
D50 - General
G1 - General Financial Markets

Related items

Showing items related by title and author.

  • Thumbnail
    Overlapping Sets of Priors and the Existence of Efficient Allocations and Equilibria for Risk Measures 
    Dana, Rose-Anne; Le Van, Cuong (2010) Article accepté pour publication ou publié
  • Thumbnail
    Overlapping Risk Adjusted Sets of Priors and the Existence of Efficient Allocations and Equilibria with Short-Selling 
    Le Van, Cuong; Dana, Rose-Anne (2010) Article accepté pour publication ou publié
  • Thumbnail
    On the Different Notions of Arbitrage and Existence of Equilibrium 
    Dana, Rose-Anne; Le Van, Cuong; Magnien, François (1999) Article accepté pour publication ou publié
  • Thumbnail
    Efficient allocations and equilibria with short-selling and incomplete preferences 
    Le Van, Cuong; Dana, Rose-Anne (2014) Article accepté pour publication ou publié
  • Thumbnail
    Arbitrage, duality and asset equilibria 
    Dana, Rose-Anne; Le Van, Cuong (2000) Article accepté pour publication ou publié
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo