Marginal Rates of Substitution for Uninsurable Risks with Constrained-Efficient Asset Structures

Chiaki Hara ()

No 1995029, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: We study efficient allocations of contingent commodities in economies in which security markets are incomplete and the payoff structures of securities are somehow endogenously determined. We present a notion of efficiency in this setup, which takes the payoff structures as endogenous variables, and give first- and second- order conditions for an allocation to be efficient. We then etablish some differential properties ot the set of efficient allocations.

Date: 1995-05-01
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:1995029

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