Constrained efficiency without commitment

We consider an infinite horizon economy where agents share income risks by trading a complete set of contingent claims but cannot commit to their promises. Allocations are restricted to be self-enforcing relative to autarchic reservation utilities. We provide a general characterization of constraine...

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Bibliographic Details
Published inJournal of mathematical economics Vol. 61; pp. 276 - 286
Main Authors Martins-da-Rocha, V. Filipe, Vailakis, Yiannis
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.12.2015
Elsevier Sequoia S.A
Elsevier
Subjects
Agency theory
Constrained pareto efficiency
Economics and Finance
High implied interest rates
Humanities and Social Sciences
Limited commitment
Pareto optimum
Risk sharing
Securities trading
Studies
Utility functions
High implied interest rates
Limited commitment
Constrained pareto efficiency
Constrained Pareto Efficiency
Limited Commitment
High Implied Interest Rates
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Summary:We consider an infinite horizon economy where agents share income risks by trading a complete set of contingent claims but cannot commit to their promises. Allocations are restricted to be self-enforcing relative to autarchic reservation utilities. We provide a general characterization of constrained Pareto efficiency without assuming that there are uniform gains to trade. Our results extend those in Bloise and Reichlin (2011) in several aspects.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
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ISSN:0304-4068
1873-1538
DOI:10.1016/j.jmateco.2015.09.010