Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures

Rose-Anne Dana and Cuong Le van
Additional contact information
Rose-Anne Dana: CEREMADE, Universit Paris-Dauphine

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature to insure existence of Pareto optima and equilibria when short-selling is allowed and investors hold a single belief about future returns, is reconsidered. Investors use measures of risk. The overlapping sets of priors and the Pareto equilibrium conditions introduced by Heath and Ku for coherent risk measures are reinterpreted as a weak no-arbitrage and a weak collective absence of arbitrage conditions and shown to imply existence of Pareto optima and Arrow Debreu equilibria

Keywords: Overlapping sets of priors; collective absence of arbitrage; equilibria with short-selling; risk sharing; measures of risk (search for similar items in EconPapers)
JEL-codes: C62 D50 D81 D84 G1 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2007-07
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published in Mathematical Finance, 20, (3), 2010, pp.327-339

Downloads: (external link)
https://shs.hal.science/halshs-00188761 (application/pdf)
https://doi.org/10.1111/j.1467-9965.2010.00402.x
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (https://doi.org/10.1111/j.1467-9965.2010.00402.x [302 Found]--> https://onlinelibrary.wiley.com/doi/10.1111/j.1467-9965.2010.00402.x)

Related works:
Working Paper: Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures (2010)
Working Paper: Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures (2007)
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:mse:cesdoc:b07068

Access Statistics for this paper

More papers in Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Contact information at EDIRC.
Bibliographic data for series maintained by Lucie Label ().