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Risque microeconomique et prix d'actifs dans un modele d'equilibre general avec esperance d'utilite dependante du rang

Author

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  • Tallon, J-M

Abstract

We study a general equilibrium model with micro-economic risk in which agents maximize an rand-dependent-expected-utility. Financial markets are complete. Under the assumption of weak risk aversion, all agents are prefectly insured at equilibrium. If, furthermore, agents are strongly risk averse, assets prices are indeterminate. We characterize the set of equilibrium asset prices.

Suggested Citation

  • Tallon, J-M, 1996. "Risque microeconomique et prix d'actifs dans un modele d'equilibre general avec esperance d'utilite dependante du rang," Papiers d'Economie Mathématique et Applications 96.94, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:fth:pariem:96.94
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    Cited by:

    1. Trabelsi, Mohamed Ali, 2006. "Les nouveaux modèles de décision dans le risque et l’incertain : quel apport ? [The new models of decision under risk or uncertainty : What approach?]," MPRA Paper 25442, University Library of Munich, Germany.
    2. Wigniolle, B., 2014. "Optimism, pessimism and financial bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 188-208.
    3. Trabelsi, Mohamed Ali, 2019. "The new models of decision in risk: A review of the critical literature," MPRA Paper 92693, University Library of Munich, Germany, revised 2019.
    4. Trabelsi, Mohamed Ali, 2006. "Les Nouveaux Modèles de Décision dans le Risque et l’Incertain : Quel Apport ? [The New Models of Decision Under Risk or Uncertainty : What Approach?]," MPRA Paper 76954, University Library of Munich, Germany.
    5. repec:hal:pseose:halshs-00673892 is not listed on IDEAS
    6. André de Palma & Nathalie Picard & Jean-Luc Prigent, 2009. "Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID," Working Papers hal-00418892, HAL.

    More about this item

    Keywords

    GENERAL EQUILIBRIUM;

    JEL classification:

    • D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models

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