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dc.contributor.authorAase, Knut K.
dc.date.accessioned2006-07-13T07:41:09Z
dc.date.available2006-07-13T07:41:09Z
dc.date.issued2003-01
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/164043
dc.description.abstractWe consider a one period (two time points-) model of efficient risk sharing, when the risk of possible sharing rules are constrained to be linear. This can be interpreted as a model of a market for common stocks. Here we study the properties of a competitive equilibrium in an incomplete market. The lack of Pareto optimality is then the typical case. We do characterize, however, the situations where the competitive financial equilibrium is also Pareto optimal, and illustrate by examples. Since the marketed subspace M is a closed, linear subspace of L2, we employ Hilbert space techniques in finding the first order conditions. We conclude with a discussion of the different features of idiosyncratic risks in insurance, and risks in financial markets, where a common ground is suggested.en
dc.format.extent466688 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries2003:1en
dc.subjectincomplete financial marketen
dc.subjectcompetitive equilibriumen
dc.subjectpareto optimalityen
dc.subjectrepresentative agenten
dc.subjectmarketed subspaceen
dc.titleFinancial economicsen
dc.typeWorking paperen


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