Information and securities: A note on Pareto dominance and the second best

DOI10.1016/0022-0531(87)90062-7MaRDI QIDQ581201zbMATH OpenOpenAlexFDO

Authors Frank Milne, H. M. Shefrin

Publication date 1987

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0022-0531(87)90062-7

zbMATH Keywords

incomplete market economyPareto dominancesecond-best

Mathematics Subject Classification ID

Trade models (91B60)

Review text

A unified analysis is provided of two related problems: the first concerns the welfare impact of changing the set of tradeable securities in an incomplete market economy. The second concerns the welfare implications of changing the common information structure faced by all agents. Both problems arise from a common second-best framework in which expanding the set of trading opportunities can lead to a Pareto worsening.

Recommendations

• Value of information in competitive economies with incomplete markets
• Information, trade and incomplete markets
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• General Competitive Analysis in an Economy with Private Information
• scientific article; zbMATH DE number 1264575

Cites work

• Consumer Preferences, Linear Demand Functions and Aggregation in Competitive Asset Markets
• Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
• scientific article; zbMATH DE number 3307201 (Why is no real title available?)
• Induced preferences and the theory of the consumer
• Inefficiency and the Demand for "Money" in a Sequence Economy
• On the optimality of equilibrium when the market structure is incomplete
• On Transaction Costs, Inessential Sequence Economies and Money

Cited in

(5)

• Spoiled for choice: Variety and efficiency in markets with incomplete information
• Asset pricing in an intertemporal partially-revealing rational expectations equilibrium.
• Standard Securities
• Value of information in competitive economies with incomplete markets
• Externalities, monopoly and the objective function of the firm

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