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Marginal Rates of Substitution for Uninsurable Risks with Constrained-Efficient Asset Structures

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  • HARA , Chiaki

    (CORE, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium)

Abstract

We study efficient allocations of contingent commodities in economies in which security markets are incomplete and the payoff structures of securities are somehow endogenously determined. We present a notion of efficiency in this setup, which takes the payoff structures as endogenous variables, and give first- and second- order conditions for an allocation to be efficient. We then etablish some differential properties ot the set of efficient allocations.

Suggested Citation

  • HARA , Chiaki, 1995. "Marginal Rates of Substitution for Uninsurable Risks with Constrained-Efficient Asset Structures," LIDAM Discussion Papers CORE 1995029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:1995029
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    File URL: https://sites.uclouvain.be/core/publications/coredp/coredp1995.html
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