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 (1992) 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 (search for similar items in EconPapers)
Date: 2010-01
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Citations: View citations in EconPapers (5)

Published in Mathematical Social Sciences, 2010, 59 (1), pp.1-14. ⟨10.1016/j.mathsocsci.2009.09.008⟩

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Related works:
Journal Article: 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)
Working Paper: The no-trade interval of Dow and Werlang: some clarifications (2009)
Working Paper: The no-trade interval of Dow and Werlang: some clarifications (2009)
Working Paper: The no-trade interval of Dow and Werlang: some clarifications (2008)
Working Paper: The no-trade interval of Dow and Werlang: some clarifications (2008)
Working Paper: The no-trade interval of Dow and Werlang: some clarifications (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:pseptp:hal-00634653

DOI: 10.1016/j.mathsocsci.2009.09.008

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