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Differentiability of the Efficient Frontier when Commitment to Risk Sharing is Limited
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Thorsten V. Koeppl
Veröffentlicht/Copyright:
19. April 2006
Abstract
This paper shows that the value function describing efficient risk sharing with limited commitment is not necessarily differentiable everywhere. We link differentiability of the value function to history dependence of efficient allocations and provide sufficient conditions for both properties.
Published Online: 2006-04-19
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Artikel in diesem Heft
- Heterogeneity in Price Stickiness and the Real Effects of Monetary Shocks
- Frontiers Article
- 10.2202/1534-6013.1320
- Advances Article
- Monetary Policy and Uncertainty about the Natural Unemployment Rate: Brainard-Style Conservatism versus Experimental Activism
- Quantifying the Effects of the Demographic Transition in Developing Economies
- Inflation, Prices, and Information in Competitive Search
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- A Closed Form Solution to the Ramsey Model
- Convergence and Stability in U.S. Employment Rates
- What Does the Solow Model Tell Us about Economic Growth?
- Consumption and Health
- Capital Maintenance versus Technology Adoption Under Embodied Technical Progress
- Let a Thousand Models Bloom: The Advantages of Making the FOMC a Truly 'Open Market'
- Does Inflation Grease the Wheels of the Labor Market?
- The Relative Price and Relative Productivity Channels for Aggregate Fluctuations
- A Search-Theoretic Monetary Business Cycle Model with Capital Formation
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