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Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures

Author

Listed:
  • Rose-Anne Dana

    (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Cuong Le Van

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, Axe Economie mathématique et jeux - CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique - PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

Abstract

The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature to insure existence of Pareto optima and equilibria with short-selling when investors have a single belief about future returns, is reconsidered. Investors use measures of risk. The overlapping sets of priors and the Pareto equilibrium conditions introduced by Heath and Ku for coherent risk measures are respectively reinterpreted as a weak no-arbitrage and a weak collective absence of arbitrage conditions and shown to imply existence of Pareto optima and Arrow-Debreu equilibria.

Suggested Citation

  • Rose-Anne Dana & Cuong Le Van, 2010. "Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures," Post-Print halshs-00308530, HAL.
    • Handle: RePEc:hal:journl:halshs-00308530
    DOI: 10.1111/j.1467-9965.2010.00402.x
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00308530
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    References listed on IDEAS

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