Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures

Rose-Anne Dana and Cuong Le van

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

Abstract: The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature to insure existence of Pareto optima and equilibria when short-selling is allowed and investors hold a single belief about future returns, is reconsidered. Investors use measures of risk. The overlapping sets of priors and the Pareto equilibrium conditions introduced by Heath and Ku for coherent risk measures are reinterpreted as a weak no-arbitrage and a weak collective absence of arbitrage conditions and shown to imply existence of Pareto optima and Arrow Debreu equilibria.

Keywords: Overlapping sets of priors; collective absence of arbitrage; equilibria with short-selling; risk sharing; measures of risk; Ensembles de croyances; absence d'arbitrage collectif; équilibre avec ventes à découvert; mesures de risque (search for similar items in EconPapers)
Date: 2007-07
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00188761v1
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Published in 2007

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Related works:
Working Paper: Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures (2010)
Working Paper: Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures (2007)
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