Blar i NHH Brage på emneord "two-fund separation"

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    • Competitive nash equilibria and two period fund separation 

      Hens, Thorsten; Reimann, Stefan; Vogt, Bodo (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 

      Borglin, Anders; Flåm, Sjur Didrik (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, ...