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

Thorsten Koeppl

No 273519, Queen's Economics Department Working Papers from Queen's University - Department of Economics

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: Financial; Economics (search for similar items in EconPapers)
Pages: 10
Date: 2004-12
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https://ageconsearch.umn.edu/record/273519/files/qed_wp_1049.pdf (application/pdf)

Related works:
Journal Article: Differentiability of the Efficient Frontier when Commitment to Risk Sharing is Limited (2006)
Working Paper: Differentiability Of The Efficient Frontier When Commitment To Risk Sharing Is Limited (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:quedwp:273519

DOI: 10.22004/ag.econ.273519

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