Differentiability Of The Efficient Frontier When Commitment To Risk Sharing Is Limited

Thorsten Koeppl

No 1049, Working Paper from Economics Department, Queen's University

Abstract: This paper shows that the value function describing efficient risk sharing with limited commitment is not necessarilydifferentiable everywhere. We link differentiability of the value function to history dependence of efficient allocations and provide sufficient conditions for both properties.

Keywords: Risk Sharing; Limited Commitment; Differentiability of Efficient Frontier (search for similar items in EconPapers)
JEL-codes: C61 E21 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2004-12
New Economics Papers: this item is included in nep-ias and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1049.pdf First version 2004 (application/pdf)

Related works:
Journal Article: Differentiability of the Efficient Frontier when Commitment to Risk Sharing is Limited (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1049

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