The no-trade interval of Dow and Werlang: Some clarifications

Alain Chateauneuf and Caroline Ventura

Mathematical Social Sciences, 2010, vol. 59, issue 1, 1-14

Abstract: The aim of this paper is two-fold: first, to emphasize that the seminal result of Dow and Werlang (1992) remains valid under weaker conditions, and this even if non-positive prices are considered, or equally that the no-trade interval result is robust when considering assets which can yield non-positive outcomes. Second, to make precise the weak uncertainty aversion behavior characteristic of the existence of such an interval.

Keywords: Decision; theory; Choquet; expected; utility; No-trade; interval; Perfect; hedging; Comonotone; diversification; Capacity (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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Related works:
Working Paper: The no-trade interval of Dow and Werlang: Some clarifications (2010)
Working Paper: The no-trade interval of Dow and Werlang: Some clarifications (2010)
Working Paper: The no-trade interval of Dow and Werlang: Some clarifications (2010)
Working Paper: The no-trade interval of Dow and Werlang: some clarifications (2009)
Working Paper: The no-trade interval of Dow and Werlang: some clarifications (2009)
Working Paper: The no-trade interval of Dow and Werlang: some clarifications (2009)
Working Paper: The no-trade interval of Dow and Werlang: some clarifications (2008)
Working Paper: The no-trade interval of Dow and Werlang: some clarifications (2008)
Working Paper: The no-trade interval of Dow and Werlang: some clarifications (2008)
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