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 (13)

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

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