-
作者：NEME, A; QUINTAS, L
作者单位：Autonomous University of Barcelona; Northwestern University
摘要：This paper analyzes the payoff vectors which are obtained by considering issues of perfection in the Rubinstein (A. Rubinstein, J. Econ. Theory 38 (1986), 83-96) (R) model. The paper concludes that there is little change in the set of payoff vectors but that the proposed equilibrium strategies are different from those suggested in R. (C) 1995 Academic Press, Inc.
-
作者：JOUINI, E; KALLAL, H
作者单位：New York University
摘要：We derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask spreads. The absence of arbitrage is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded securities into a martingale. These martingale measures can be interpreted as possible linear pricing rules and can be used to determine the investment opportunities available in such an economy. The mini...
-
作者：KELSEY, D; MILNE, F
作者单位：Queens University - Canada
摘要：The arbitrage pricing theorem of finance shows that in certain circumstances the price of a financial asset may be written as a linear combination of the prices of certain market factors. This result is usually proved with von Neumann-Morgenstern preferences. In this paper we show that the result is robust in the sense that it will remain true if certain kinds of non-expected utility preferences are used. We consider Machina preferences, the rank dependent model, and non-additive subjective pr...
-
作者：ELUL, R
摘要：We show that in almost every incomplete markets economy with more than one consumption good, and with sufficiently many uninsured states of nature, at any general equilibrium of this economy it is possible to arbitrarily perturb the equilibrium utilities merely by introducing the appropriate asset-making, for example, all agents worse off. This result demonstrates that the examples given by Hart (On the optimality of equilibrium when the market structure is incomplete, J. Econ. Theory 11 (1975...
-
作者：Waehrer, K
摘要：This paper develops an auction model in which the winning bidder has an opportunity to cancel the transaction and pay damages to the seller. In the event of a default on the auction contract, the winning bidder pays liquidated damages or loses a posted deposit. When renegotiation is possible, increasing the deposit has no effect on the seller's payoff unless the seller has some bargaining power and exogenously receives some information about the winning bidder. Under these conditions the selle...
-
作者：DUTTA, PK
作者单位：Columbia University
摘要：In many dynamic economic applications, the appropriate game theoretic structure is that of a stochastic game. A folk theorem for such games is presented. The result subsumes a number of results obtained earlier and applies to a wide range of games studied in the economics literature. The result further establishes an underlying unity between stochastic and purely repeated games from the point of view of asymptotic analysis, even though stochastic games offer a much richer set of deviation poss...
-
作者：CHEN, KP
摘要：Van Damme (J. Econ. Theory 47 (1989), 206-217) shows that in the Green-Porter imperfect monitoring model the only weakly renegotiation-proof equilibrium (WRPE) is to play the stage game Cournot equilibrium at all stages. We first find a restriction that a WRPE will impose on the stage game actions. Then using this restriction we construct an example to show that van Damme's conclusion is not necessarily correct. We explain why van Damme's argument cannot apply. Finally, we show that despite th...
-
作者：KANEDA, M
作者单位：Georgetown University
摘要：A dynamic model of international trade with a continuum of countries is presented. The terms of trade path each country takes as given are endogenous in the model. Countries differ by the rate of time preference and have populations of onverlapping generations of labor. Industrialization is modeled as the reallocation of labor to the sector with external increasing returns, the process of which is gradual due to a demographic constraint. In a perfect forseight equilibrium, countries with lower...
-
作者：KHALIL, F; LAWARREE, J
作者单位：University of Liege
摘要：We observe that residual claimancy can be a source of rent in a principal-agent relationship. We show that the choice between input or output monitoring will be chiefly determined by the identity of the residual claimant of the principal-agent relationship. The principal will find input monitoring more efficient if the principal is the residual claimant, and he will find output monitoring more efficient if the agent is the residual claimant. If residual claimancy is a choice, the principal wil...
-
作者：MAGGI, G; RODRIGUEZCLARE, A
作者单位：University of Chicago
摘要：This paper extends and unifies previous work on optimal contracts under countervailing incentives, shedding light in particular on the relation between countervailing incentives and pooling (''inflexible rules''). Our main result is that the nature of the optimal contract depends crucially on whether the agent's utility is quasiconcave or quasiconvex in the private parameter: the optimal contract is separating in the former case and it may entail pooling in the latter case. Journal of Economic...
