Robust efficiency in mixed economies with asymmetric information (Q1940391)

The authors consider a mixed model of a pure exchange economy \({\mathcal E}\) with asymmetric information. There is a finite space of states of nature \(\Omega\). The economy extends over two time periods \(\tau=0,1\). Consumption takes place at \(\tau=1\). At \(\tau=0\), there is uncertainty over the states and agents make contracts that are contingent on the realized state at \(\tau=1\). Let the space of agents be a measure space \((T,\Sigma,\mu)\) with a complete, finite and positive measure \(\mu\), where \(T\) is the set of agents and \(\Sigma\) is a \(\sigma\)-algebra of measurable subsets of \(T\). The commodity space is assumed to be an ordered Banach space \(Y\) whose positive cone \(Y_{+}\) has an interior point and \(Y_{+}\) is the consumption set in every state \(\omega\in \Omega\) for each agent \(t\in T\). Each agent \(t\in T\) is associated with his characteristics \(({\mathcal F}_{t},U_{t},a(t,\cdot),q_{t})\), where \({\mathcal F}_{t}\) is the \(\sigma\)-algebra generated by private information of \(t\); \(U_{t}:\;\Omega\times Y_{+}\to \mathbb{R}\) is the state-dependent utility function of \(t\); \(a(t,\cdot):\;\Omega\to Y_{+}\) is the random initial endowment of \(t\) and \(q_{t}\) is a probability measure on \(\Omega\). Let \(L_1(\mu,Y)\) be the set of all Bochner integrable functions from \(T\) into \(Y_{+}\) and \(L_{t}=\{x\in (Y_{+})^{\Omega}: x\) is \({\mathcal F}_{t}\)-measurable\(\}\) for all \(t\in T\). A function \(f: T\times\Omega\to Y_{+}\) is called an allocation if \(f(\cdot,\omega)\in L_1(\mu,Y), f(t,\cdot)\in L_{t}\). A Walrasian expectations equilibrium of \({\mathcal E}\) is a pair \((f,\pi)\), where \(f\) is a feasible allocation and \(\pi\) is a price system such that for almost all \(t\in T, f(t,\cdot)\in B_{t}(\pi)\), \(B_{t}(\pi)\) - is the budget set of agent \(t\), \(f(t,\cdot)\) maximizes \(V_{t}=\sum_{\omega\in\Omega}U_{t}(\omega,x(\omega))q_{t}(\omega)\) on \(B_{t}(\pi)\) and \(\sum_{\omega\in\Omega}\left\langle \pi(\omega),\int_{T}f(\cdot,\omega)d\mu \right\rangle = \sum_{\omega\in\Omega}\left\langle \pi(\omega),\int_{T}a(\cdot,\omega)d\mu \right\rangle \). The set of all such allocations \(f\) is denoted by \({\mathcal W(E)}\). Let \({\mathcal A}\) be the collection of atoms in \(T\). For any coalition \(S\), allocation \(f\) in \({\mathcal E}\) and any \(0\leq r\leq1\), it is introduced an asymmetric information economy \({\mathcal E}(S,f,r)\) which coincides with \({\mathcal E}\) except for the initial endowment allocation that is given by \(a(S,f,r)(t,\cdot)=a(t,\cdot)\) if \(t\in T\setminus S\) and \(a(S,f,r)(t,\cdot)=(1-r)a(t,\cdot)+rf(t,\cdot)\), if \(t\in S\). A feasible allocation \(f\) in \({\mathcal E}\) is said to be robust efficient if \(f\) is not privately blocked by the grand coalition in every economy \({\mathcal E}(S,f,r)\). Let \({\mathcal B}\) be the set of all simple measurable functions \(\gamma: T\to [0,1]\) such that \(\mu(\mathrm{supp}(\gamma))>)\). For any feasible allocation \(f\) in \({\mathcal E}\) and \(\gamma\in {\mathcal B}\), define a new asymmetric information economy \({\mathcal E}(\gamma,F)\) which is identical to \({\mathcal E}\) except for the initial endowment of every agent \(t\in T\) which is defined in each state \(\omega\in \Omega\) by \(a_{\gamma}(t,\omega)=\gamma(t)a(t,\omega)+(1-\gamma(t))f(t,\omega)\). The main result of this paper is following. Assume that \(Y\) is separable, \(a(\cdot,\omega)\in L_1(\mu,Y)\) for all \(\omega\in\Omega\), \(at,\cdot)\in L_{t}\) for almost all \(t\in T\), \(a(t,\omega)\gg 0\) for all \((t,\omega)\); for each \((t,\omega)\in T\times\Omega\), \(U_{t}(\omega,x+y)>U_{t}(\omega,x)\) if \(x,y\in Y_{+}, y\gg 0\); for each feasible allocation \(f\) in \({\mathcal E}\) not privately blocked by the grand coalition in \({\mathcal E}(S,f,r)\) for any coalition \(S\) and real number \(r\) with \(\mu(S)<\mu(T)\) and \(0\leq r\leq1\), the set \(\{x\in L_{T_1}:V_{T_1}(x)\geq V_{T_1}(\mu^{-1}(T_1)\int_{T_1}f(\cdot,\omega)d\mu)\}\) is convex. Here \(T_1\) is the set of large agents (set of \(\mu\)-atoms). If \(|{\mathcal A}|=0\) or \(|{\mathcal A}|\geq2\), then the following are equivalent for a feasible allocation \(f\) in \({\mathcal E}\): (i) \(f\in {\mathcal W(E)}\); (ii) \(f\) is robustly efficient; (iii) \(f\) is not privately blocked by the grand coalition in every economy \({\mathcal E}(\gamma,f)\) for any \(\gamma\in{\mathcal B}\); (iv) \(f\) is not privately blocked by the grand coalition in every economy \({\mathcal E}(S,f,r)\) with \(\mu(S)<\mu(T)\) and \(0\leq r\leq1\).