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作者：MACHINA, MJ; SCHMEIDLER, D
作者单位：Tel Aviv University; University System of Ohio; Ohio State University
摘要：Anscombe and Aumann (Ann. Math. Statist. 33 (1963), 199-205) demonstrated that introducing an objective randomizing device into the Savage setting of purely subjective uncertainty considerably simplifies the derivation of subjective probability from an individual's preferences over uncertain bets. We present a more general derivation of classical subjective probability in this mixed subjective/objective setting, which neither assumes nor implies that risk preferences necessarily conform to the...
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作者：SUZUKI, T
摘要：The equilibrium existence problem of a production economy with measure space of consumers whose consumption sets are not convex will be discussed. We will show that the set of economies with equilibrium is dense in a suitable topology. Unfortunately, the set is not open, since we can construct an example of an economy with equilibrium which is the limit of economies without equilibrium. Journal of Economic Literature Classification Numbers C62, D51. (C) 1995 Academic Press, Inc.
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作者：CHEN, ZW
摘要：Frictional economies are fundamentally different from their frictionless counterparts. For example, in frictional economies, the price function is sublinear and thus there will be incentives to innovate. When decomposing existing securities and opening new markets, innovators serve important economic functions, such as allowing investors to obtain consumption at lower costs, enabling investors to achieve better risk sharing, and making the fundamental value of more payoffs observable. In parti...
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作者：BERNHEIM, BD; DASGUPTA, A
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We study a class of repeated games in which the discount factor falls asymptotically to zero through time (reflecting, for example, a vanishing probability of continuation). For an important class of stage games, we give a condition on the sequence of discount factors that is necessary and sufficient for the existence of nondegenerate equilibria. We also study the properties of the equilibrium set when this condition is satisfied. (C) 1995 Academic Press, Inc.
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作者：KAHN, CM; MOOKHERJEE, D
作者单位：Indian Statistical Institute; Indian Statistical Institute Delhi
摘要：We extend the notion of Coalition Proof Nash Equilibrium to a class of matching games with private information. This solution concept is applied to an adverse selection insurance economy and is shown to yield a unique allocation: the optimal allocation without cross-subsidy. This contrasts sharply with the outcome in alternative institutional settings for negotiations among players, as modeled for instance by the Incentive Compatible Core. Journal of Economic Literature Classification Numbers ...
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作者：RAHI, R
作者单位：Pompeu Fabra University
摘要：This paper provides a simple parametric framework for comparing alternative incomplete asset structures in a productive economy, focusing on the role of assets in allocating risk and transmitting private information. It characterizes asset structures that are constrained efficient in the sense that no other asset structure, with the same number of securities, leads to a Pareto-dominating allocation in equilibrium. Specifically, a constrained efficient asset structure must be efficient with res...
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作者：HARA, C
作者单位：University of London; University College London
摘要：A general equilibrium model of endogenous asset formation is given in which a monopolistic agent, called the designer, can create any types of assets and charage commissions as long as the total number of the types of assets does not exceed some given constant. When the designer can create at most two assets, a commission-revenue maximizer always exists. Otherwise, it may not. Moreover, the so-called epsilon-maximizers may be badly behaved. A (profit) maximizer may not exist even when the numb...
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作者：DUTTA, PK; RUSTICHINI, A
作者单位：Universite Catholique Louvain
摘要：We study a class of two-player continuous time stochastic games in which agents can make (costly) discrete or discontinuous changes in the variables that affect their payoffs. It is shown that in these games there are Markov-perfect equilibria of the two-sided (s, S) rule type. In such equilibria at a critical low state (resp, high state), player 1 (resp. 2) effects a discrete change in the environment. In some of these equilibria either or both players may be passive. On account of the presen...
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作者：MCAFEE, RP
摘要：The model of Burdett and Judd (Econometrica 51 (1993), 955-969) is generalized to the case of many goods. Consumers choose the best price observed for each good. There are two classes of equilibria, those that involve constant expected profits for each good independently of price and those with increasing profits for each good in price. A continuum of the latter type always exists. These equilibria are qualitatively different than the unique equilibrium of the single-good case. (C) 1995 Academ...
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作者：EPSTEIN, LG; WANG, T
作者单位：University of Waterloo
摘要：This paper provides a general analysis of intertemporal utility based on the multiple-priors model of aversion to ''Knightian'' uncertainty. Then the existence of equilibrium is proven for a representative agent security market model. It is shown that uncertainty aversion can invalidate the existence of a risk-neutral measure representation for prices. In addition, an example suggests an intriguing link between uncertainty aversion and the possibility of abrupt changes in security prices. The ...
