On risk averse competitive equilibrium
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Publication:6288299
DOI10.1016/J.ORL.2017.10.011arXiv1706.08398MaRDI QIDQ6288299FDOQ6288299
Authors: Henri Gérard, Vincent Leclère, A. B. Philpott 
Publication date: 26 June 2017
Abstract: We discuss risked competitive partial equilibrium in a setting in which agents are endowed with coherent risk measures. In contrast to socialplanning models, we show by example that risked equilibria are not unique, even when agents' objective functions are strictly concave. We also show that standard computational methods find only a subset of the equilibria, even with multiple starting points.
Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Microeconomic theory (price theory and economic markets) (91B24)
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