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

Rose-Anne Dana () and Cuong Le van
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Rose-Anne Dana: CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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 with short-selling when investors have 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 respectively 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: measures of risk; collective absence of arbitrage; equilibria with short-selling; Overlapping sets of priors (search for similar items in EconPapers)
Date: 2010-07
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00308530v1
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Published in Mathematical Finance, 2010, 20 (3), pp.327-339. ⟨10.1111/j.1467-9965.2010.00402.x⟩

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Related works:
Working Paper: Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures (2007)
Working Paper: Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00308530

DOI: 10.1111/j.1467-9965.2010.00402.x

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