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In this paper, we provide an equilibrium analysis in the framework of incomplete markets where some agents’ preferences are possibly satiated at some state of the nature. We will consider nominal assets with exogenously fixed asset prices. We extend the notion of equilibrium with slack – introduced by Drèze and Müller [Drèze, J., Müller, H., 1980. Optimality properties of rationing schemes. Journal of Economic Theory 23, 150–159] in a fixed price setting – to the GEI framework. 相似文献
2.
We define (d,n)-coherent risk measures as set-valued maps from
into
satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner et al. [2]. We then discuss the aggregation issue, i.e., the passage from
valued random portfolio to
valued measure of risk. Necessary and sufficient conditions of coherent aggregation are provided.Received: February 2004, Mathematics Subject Classification (2000):
91B30, 46E30JEL Classification:
D81, G31 相似文献
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