NDLI: Comonotonicity, Efficient Risk-sharing and Equilibria in markets with short-selling for concave law-invariant utilities

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Comonotonicity, Efficient Risk-sharing and Equilibria in markets with short-selling for concave law-invariant utilities

Content Provider	Hyper Articles en Ligne (HAL)
Author	Dana, Rose-Anne
Abstract	In finite markets with short-selling, conditions on agents' utilities insuring the existence of efficient allocations and equilibria are by now well understood. In infinite markets, a standard assumption is to assume that the individually rational utility set is compact. Its drawback is that one does not know whether this assumption holds except for very few examples as strictly risk averse expected utility maximizers with same priors. The contribution of the paper is to show that existence holds for the class of strictly concave second order stochastic dominance preserving utilities. In our setting, it coincides with the class of strictly concave law-invariant utilities. A key tool of the analysis is the domination result of Lansberger and Meilijson that states that attention may be restricted to comonotone allocations of aggregate risk. Efficient allocations are characterized as the solutions of utility weighted problems with weights expressed in terms of the asymptotic slopes of the restrictions of agents' utilities to constants. The class of utilities which is used is shown to be stable under aggregation.
Ending Page	335
Page Count	8
Starting Page	328
File Format	PDF
ISSN	03044068
DOI	10.1016/j.jmateco.2010.12.016
Journal	Journal of Mathematical Economics
Volume Number	47
Language	English
Publisher	Elsevier
Publisher Date	2011-03-25
Access Restriction	Open
Subject Keyword	Law invariant utilities comonotonicity Pareto efficiency equi- libria with short-selling aggregation representative agent shs Humanities and Social Sciences Economies and finances
Content Type	Text
Resource Type	Article
Subject	Applied Mathematics Economics and Econometrics

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