Risk sharing and retrading in incomplete markets
Gottardi, Piero
Risk sharing and retrading in incomplete markets created by Piero Gottardi and Rohit Rahi - Economic theory Volume 53, number 2 .
At a competitive equilibrium of an incomplete-markets economy agents’ marginal valuations for the tradable assets are equalized ex-ante. We characterize the finest partition of the state space conditional on which this equality holds for any economy. This leads naturally to a necessary and sufficient condition on information that would induce agents to retrade, if such information was to become publicly available after the initial round of trade.
09382259
Competitive equilibrium--Information--Incomplete markets
Retrading
HB119 ECO
Risk sharing and retrading in incomplete markets created by Piero Gottardi and Rohit Rahi - Economic theory Volume 53, number 2 .
At a competitive equilibrium of an incomplete-markets economy agents’ marginal valuations for the tradable assets are equalized ex-ante. We characterize the finest partition of the state space conditional on which this equality holds for any economy. This leads naturally to a necessary and sufficient condition on information that would induce agents to retrade, if such information was to become publicly available after the initial round of trade.
09382259
Competitive equilibrium--Information--Incomplete markets
Retrading
HB119 ECO