Browsing NHH Brage by Subject "two-fund separation"
Now showing items 1-2 of 2
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Competitive nash equilibria and two period fund separation
(Discussion paper, Working paper, 2003-11)We suggest a simple asset market model in which we analyze competitive and strategic behavior simultaneously. If for competitive behavior two-fund separation holds across periods then it also holds for strategic behavior. ... -
Risk exchange as a market or production game
(Working paper, Working paper, 2007-09)Risk exchange is considered here as a cooperative game with transferable utility. The set-up fits markets for insurance, securities and contingent endowments. When convoluted payoff is concave at the aggregate endowment, ...