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

Alain Chateauneuf () and Caroline Ventura ()
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Caroline Ventura: CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

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: Capacity; Comonotone diversification; Choquet expected utility; No-trade interval; Perfect hedging (search for similar items in EconPapers)
Date: 2010-01
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00634653
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Published in Mathematical Social Sciences, Elsevier, 2010, 59 (1), pp.1-14. ⟨10.1016/j.mathsocsci.2009.09.008⟩

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Working Paper: The no-trade interval of Dow and Werlang: some clarifications (2009) Downloads
Working Paper: The no-trade interval of Dow and Werlang: some clarifications (2008) Downloads
Working Paper: The no-trade interval of Dow and Werlang: some clarifications (2008) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-00634653

DOI: 10.1016/j.mathsocsci.2009.09.008

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