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Risque microéconomique et prix d'actifs dans un modèle d'équilibre général avec espérance d'utilité dépendante du rang

Jean-Marc Tallon ()

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Abstract: We study a general equilibrium model with micro-economic risk in which agents maximize an rand-dependent-expected-utility. Financial markets are complete. Under the assumption of weak risk aversion, all agents are prefectly insured at equilibrium. If, furthermore, agents are strongly risk averse, assets prices are indeterminate. We characterize the set of equilibrium asset prices.

Keywords: modèle; d'équilibre; général (search for similar items in EconPapers)
Date: 1997
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00502512
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Published in Finance, Revue de l'Association Française de Finance, 1997, pp.139-153

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Working Paper: Risque microeconomique et prix d'actifs dans un modele d'equilibre general avec esperance d'utilite dependante du rang (1996)
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