Optimal sharing with an infinite number of commodities in the presence of optimistic and pessimistic agents
Aloisio Araujo
(1)
,
Jean-Marc Bonnisseau
(2, 3)
,
Alain Chateauneuf
(4, 2, 3)
,
Rodrigo Novinski
(5)
Jean-Marc Bonnisseau
- Fonction : Auteur
- PersonId : 171804
- IdHAL : jean-marc-bonnisseau
- ORCID : 0000-0002-8156-2229
- IdRef : 033522448
Alain Chateauneuf
- Fonction : Auteur
- PersonId : 838103
- IdRef : 058577122
Résumé
We prove that under mild conditions individually rational Pareto optima will exist even in the presence of non-convex preferences. We consider decision-makers (DMs) dealing with a countable flow of pay-offs or choosing among financial assets whose outcomes depend on the realization of a countable set of states of the world. Our conditions for the existence of Pareto optima can be interpreted as a requirement of impatience in the first context and of some pessimism or not unrealistic optimism in the second context. A non-existence example is provided when, in the second context, some DM is too optimistic. We furthermore show that at an individually rational Pareto optimum at most one strictly optimistic DM will avoid ruin at each state or date. Considering a risky context, this entails that even if risk averters will share risk in a comonotonic way as usual, at most one classical strong risk lover will avoid ruin at each state or date. Finally, some examples illustrate circumstances when a risk averter could take advantage of sharing risk with a risk lover rather than with a risk averter.
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Résumé |
en
We prove that under mild conditions individually rational Pareto optima will exist even in the presence of non-convex preferences. We consider decision-makers (DMs) dealing with a countable flow of pay-offs or choosing among financial assets whose outcomes depend on the realization of a countable set of states of the world. Our conditions for the existence of Pareto optima can be interpreted as a requirement of impatience in the first context and of some pessimism or not unrealistic optimism in the second context. A non-existence example is provided when, in the second context, some DM is too optimistic. We furthermore show that at an individually rational Pareto optimum at most one strictly optimistic DM will avoid ruin at each state or date. Considering a risky context, this entails that even if risk averters will share risk in a comonotonic way as usual, at most one classical strong risk lover will avoid ruin at each state or date. Finally, some examples illustrate circumstances when a risk averter could take advantage of sharing risk with a risk lover rather than with a risk averter.
|
Titre |
en
Optimal sharing with an infinite number of commodities in the presence of optimistic and pessimistic agents
|
Auteur(s) |
Aloisio Araujo
1
, Jean-Marc Bonnisseau
2, 3
, Alain Chateauneuf
4, 2, 3
, Rodrigo Novinski
5
1
IMPA -
Instituto Nacional de Matemática Pura e Aplicada
( 87542 )
- Estrada Dona Castorina 110 Rio de Janeiro 22460-320
- Brésil
2
CES -
Centre d'économie de la Sorbonne
( 15080 )
- Maison des Sciences Économiques - 106-112 Boulevard de l'Hôpital - 75647 Paris Cedex 13
- France
3
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
4
IPAG Business School
( 542840 )
- 184 boulevard Saint-Germain, 75006 Paris
- France
5
Faculdades Ibmec
( 441323 )
- Av. President Wilson,
118 - Centro,
Rio de Janeiro,
RJ 20030-020
- Brésil
|
Date de production/écriture |
2016-06
|
Nom de la revue |
|
Langue du document |
Anglais
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Date de publication électronique |
2016-06-20
|
Volume |
63
|
Numéro |
1
|
Page/Identifiant |
131-157
|
URL éditeur |
https://link.springer.com/article/10.1007%2Fs00199-016-0985-0
|
Commentaire |
We would like to thank participants of SAET 2011 at Ancão, of the 28∘ Colóquio Brasileiro de Matemática, IMPA, at Rio de Janeiro (2011), of the 2011 Conference on Theoretical Economics at Kansas University, of the Manchester workshop in Economic Theory (2012), of SWET (2014) in honour of Bernard Cornet and of EWGET (2015) at Naples and Paulo K. Monteiro for helpful discussions and suggestions. Chateauneuf thanks IMPA for the generous financial support from the “Brazilian-French Network in Mathematics” and from the “Ciências sem Fronteiras” fellowship. Novinski gratefully acknowledges the financial support from the “Brazilian-French Network in Mathematics” and CERMSEM of the University of Paris 1 for its hospitality.
|
Date de publication |
2017-01
|
Collaboration/Projet |
|
Mots-clés (JEL) |
|
Domaine(s) |
|
Mots-clés |
en
Non-convex preferences, Pareto optima, Pessimism, Countable set of commodities, Impatience, Optimism
|
DOI | 10.1007/s00199-016-0985-0 |
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