Department of Economics
University of Kansas
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+1 785.330.3902 (phone) +995 32.99.86.44 (fax)
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3217 Renaissance Way NE Atlanta, GA 30308, U.S.A.
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In this paper, we prove a general existence result of equilibria for a financial exchange economy in which agents face asymmetric linear constraints on their portfolio holdings, extending the framework of linear equality constraints in Balasko et al. (1990), and the existence results in the unconstrained case by Cass (1984, 2006), Werner (1985), Duffie (1987), and Geanakoplos and Polemarchakis (1986). Our main result is a consequence of an auxiliary result, also of interest for itself, in which agents' portfolio restrictions are defined by general closed convex sets and the financial structure is assumed to satisfy a "nonredundancy-type" assumption, weaker than the ones in Radner (1972) and Siconolfi (1989). PDF
This paper deals with capacities which are deformations of non-atomic probabilities. We characterize balanced, totally balanced, and exact capacities by properties concerning the probability transformation function. These results allow us to obtain simple new characterizations of a large pattern of risk aversions relevant to Yaari's dual theory of choice under risk (Yaari, 1987). PDF
Work in Progress
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Last update: 2009, November 15
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