Constrained efficiency without commitment
Martins-da-Rocha, Victor-Filipe; Vailakis, Yiannis (2015), Constrained efficiency without commitment, Journal of Mathematical Economics, 61, p. 276–286. 10.1016/j.jmateco.2015.09.010
TypeArticle accepté pour publication ou publié
External document linkhttps://hal.archives-ouvertes.fr/hal-01097121
Journal nameJournal of Mathematical Economics
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Abstract (EN)We consider an infinite horizon economy where agents share income risks by trading a complete set of contingent claims but cannot commit to their promises. Allocations are restricted to be self-enforcing relative to autarchic reservation utilities. We provide a general characterization of constrained Pareto efficiency without assuming that there are uniform gains to trade. Our results extend those in Bloise and Reichlin (2011) in several aspects.
Subjects / KeywordsLimited commitment; Constrained pareto efficiency; High implied interest rates
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