EconPapers    
Economics at your fingertips  
 

The no-trade interval of Dow and Werlang: some clarifications

Alain Chateauneuf and Caroline Ventura ()
Additional contact information
Caroline Ventura: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Post-Print 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://shs.hal.science/halshs-00442861v1
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in 2009

Downloads: (external link)
https://shs.hal.science/halshs-00442861v1/document (application/pdf)

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 (2008) 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
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00442861

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2025-03-19
Handle: RePEc:hal:journl:halshs-00442861