Consumer surplus analysis under uncertainty: a general equilibrium perspective (Q478134): Difference between revisions

The author considers the problem of Hicksian aggregation under uncertainty in an environment with asset markets and ex-post spot markets, which are in general incomplete, in a setting of \textit{R. Radner}'s normative theory of competitive equilibrium under uncertainty [Econometrica 36, 31--58 (1968; Zbl 0167.18601)]. The set of commodity characteristics is the interval \(T = [0, 1]\), and the given good under consideration as an element of its partition. The expected consumer surplus for the given individual is a mean value of his state contingent consumptions of the commodity and state-contingent income transfers to him. The preference over state-contingent consumptions is represented via a regular von Neumann-Morgenstern utility function. The main result concerns the limit property of preferences over state-contingent consumption of the good and state-contingent income transfer associated to it, when the good tends to be negligibly small compared to the entire set of commodity characteristics.