Constrained Efficiency Without Commitment

Victor Filipe Martins da Rocha () and Yiannis Vailakis ()
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Victor Filipe Martins da Rocha: EESP - Sao Paulo School of Economics - FGV - Fundacao Getulio Vargas [Rio de Janeiro], 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
Yiannis Vailakis: Adam Smith Business School - University of Glasgow
Authors registered in the RePEc Author Service: V. Filipe Martins-da-Rocha

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Abstract: We consider an infinite horizon economy where agents share income risks by trading a complete set of contingent claims but cannot commit to their promises. Allocations are restricted to be self-enforcing relative to autarchic reservation utilities. We provide a general characterization of constrained Pareto efficiency without assuming that there are uniform gains to trade. Our results extend those in Bloise and Reichlin (2011) in several aspects.

Keywords: Limited Commitment; Constrained Pareto Efficiency; High Implied Interest Rates (search for similar items in EconPapers)
Date: 2015-12
Note: View the original document on HAL open archive server: https://hal.science/hal-01097121v2
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Citations: View citations in EconPapers (1)

Published in Journal of Mathematical Economics, 2015, 61, pp.276-286. ⟨10.1016/j.jmateco.2015.09.010⟩

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Journal Article: Constrained efficiency without commitment (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01097121

DOI: 10.1016/j.jmateco.2015.09.010

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