Differentiability of the Efficient Frontier when Commitment to Risk Sharing is Limited

Thorsten V. Koeppl ()

The B.E. Journal of Macroeconomics, 2006, vol. topics.6, issue 1, pages 10

Abstract:

This paper shows that the value function describing efficient risk sharing with limited commitment is not necessarily differentiable everywhere. We link differentiability of the value function to history dependence of efficient allocations and provide sufficient conditions for both properties.

Keywords: risk sharing; limited commitment; differentiability (search for similar items in EconPapers)
JEL-codes: C61 E21 (search for similar items in EconPapers)
Date: 2006
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Related works:
Working Paper: Differentiability of the Efficient Frontier when Commitment to Risk Sharing is Limited (2004)
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