OPTIMALITY OF INCOMPLETE MARKETS
成果类型：
Article
署名作者：
DEMANGE, G; LAROQUE, G
署名单位：
Institut Polytechnique de Paris; ENSAE Paris
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1995.1008
发表日期：
1995
页码：
218-232
关键词：
摘要：
In a static exchange economy where the traders' initial endowments are risky, the optimality of the financial structure is studied when markets are incomplete. Only financial structures with the same number of assets are compared. A market structure is optimal, when, in a particular economy, it yields an allocation of risks which cannot be Pareto-dominated through the implementation of any other market structure. In a linear Gaussian setup, the optimal market structures are shown to span an eigenspace of a matrix which combines the risk exposures of the participants in the market, appropriately weighted by a measure of their risk aversions. Journal of Economic Literature Classification Numbers: D60, G10. (C) 1995 Academic Press, Inc.