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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 [7] 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 and interval.

Keywords: capacity; Choquet expected utility; no-trade interval; perfect hedging; comonotone diversification; capacity.; Intégrale de Choquet; intervalle de non-transaction; couverture parfaite; diversification comonotone; capacité. (search for similar items in EconPapers)
Date: 2009-02
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00442861
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Published in 2009

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Related works:
Journal Article: The no-trade interval of Dow and Werlang: Some clarifications (2010) Downloads
Working Paper: The no-trade interval of Dow and Werlang: Some clarifications (2010)
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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