The dynamics of risk-sensitive allocations

• 成果类型: Article
• 署名作者: Anderson, EW
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2004.05.008
• 发表日期: 2005
• 页码: 93-150
• 关键词: Pareto optimal allocations; risk-sharing; DYNAMICS; risk-sensitivity

摘要

This paper describes Pareto optimal allocations when agents have risk-sensitive preferences as formulated by Hansen and Sargent (IEEE Trans. Automat. Control 40(5) (1995) 968-971). Necessary and sufficient conditions are given for the existence and stability of steady states at which Pareto weights are time-invariant. When all agents are risk-sensitive with the same power reward function there is a unique interior steady state which is stable when the power is positive and unstable when the power is negative. When there is at least one agent with time-additive preferences eventually all risk-sensitive agents have zero Pareto weights. (c) 2004 Elsevier Inc. All rights reserved.