OVERLAPPING SETS OF PRIORS AND THE EXISTENCE OF EFFICIENT ALLOCATIONS AND EQUILIBRIA FOR RISK MEASURES

DOI10.1111/j.1467-9965.2010.00402.xzbMath1193.91055OpenAlexW2114261196MaRDI QIDQ3576951

Rose-Anne Dana, Cuong Le Van

Publication date: 3 August 2010

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00402.x

zbMATH Keywords

equilibria with short-sellingmeasures of riskcollective absence of arbitrageoverlapping sets of priors

Mathematics Subject Classification ID

Special types of economic equilibria (91B52) Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)

Related Items

Systemic optimal risk transfer equilibrium ⋮ The center of a convex set and capital allocation ⋮ Risk Trading and Endogenous Probabilities in Investment Equilibria ⋮ COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES ⋮ RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES ⋮ RISK SHARING WITH EXPECTED AND DUAL UTILITIES ⋮ Optimal risk sharing with general deviation measures ⋮ Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling ⋮ Quantile-based risk sharing with heterogeneous beliefs ⋮ Pareto optima and equilibria when preferences are incompletely known ⋮ Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences ⋮ Quantile-Based Risk Sharing ⋮ Competitive equilibria in a comonotone market

Cites Work

• Unnamed Item
• On equilibrium in Hart's securities exchange model
• Common priors and separation of convex sets
• Arbitrage and asset prices
• On the different notions of arbitrage and existence of equilibrium
• A necessary and sufficient condition for the compactness of individually rational and feasible outcomes and the existence of an equilibrium
• The geometry of arbitrage and the existence of competitive equilibrium.
• Inf-convolution of risk measures and optimal risk transfer
• On the optimal risk allocation problem
• Arbitrage and the Existence of Competitive Equilibrium
• Asset Market Equilibrium with Short-Selling
• Temporary General Equilibrium Theory
• Temporary General Equilibrium in a Sequential Trading Model with Spot and Futures Transactions
• Pareto Equilibria with coherent measures of risk
• Arbitrage and Existence of Equilibrium in Infinite Asset Markets
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
• Application of Coherent Risk Measures to Capital Requirements in Insurance