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dc.contributor.authorDana, Rose-Anne
HAL ID: 12658
dc.contributor.authorMeilijson, Isaac
dc.date.accessioned2011-04-29T08:07:21Z
dc.date.available2011-04-29T08:07:21Z
dc.date.issued2003
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6105
dc.language.isoenen
dc.subjectSecond order stochastic dominanceen
dc.subjectcomonotone risk sharingen
dc.subjectLaw-invariant risk measuresen
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.subject.classificationjelD53en
dc.subject.classificationjelD81en
dc.titleModelling agents’ preferences in complete markets by second order stochastic dominanceen
dc.typeDocument de travail / Working paper
dc.description.abstractenA theory of individual decision and a general equilibrium theory in complete markets are provided, for the case of infinite state space when incomplete preferences are modelled by second order stochastic dominance (SSD). While, unlike the situation in the finite state space case, the demand of a strictly SSD averse agent may not be implementable as a vNM demand nor an SSD equilibrium as a vNM equilibrium, the set of Pareto-optimal allocations for SSD coincides, as in the finite state space case, with the set of Pareto-optimal allocations when agents are EU maximizers with increasing strictly concave utility indices.SSD is also used to give microfoundations to law-invariant risk measures.en
dc.publisher.nameUniversité Paris-Dauphineen
dc.publisher.cityParisen
dc.identifier.citationpages27en
dc.relation.ispartofseriestitleCahiers du CEREMADEen
dc.relation.ispartofseriesnumber2003-33en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen


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