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

Alain Chateauneuf and Caroline Ventura ()
Additional contact information
Caroline Ventura: Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.univ-paris1.fr

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

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 (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2008-07
New Economics Papers: this item is included in nep-upt
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
ftp://mse.univ-paris1.fr/pub/mse/CES2008/B08065.pdf (application/pdf)

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 (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)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:b08065

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