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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 Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: The aim of this paper is two-fold : first, to emphasize that the seminal result of Dow and Werlang [9] 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: Choquet expected utility; no-trade interval; perfect hedging; comonotone diversification; capacity.; capacity; Choquet; intervalle de non-transaction; couverture parfaite; comonotonie; diversification; capacité. (search for similar items in EconPapers)
Date: 2008-07
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00341174
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in 2008

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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 (2010)
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 (2009) Downloads
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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