An extension of a theorem by Mitjushin and Polterovich to incomplete markets
This paper generalises the Mitjushin–Polterovich theorem to the case of economies with incomplete financial markets where utility functions are of the von-Neumann–Morgenstern type. We thus give a sufficient condition on the joint distribution of the asset payoffs and the endowments which guarantees...
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| Veröffentlicht in: | Journal of mathematical economics 1998-10, Vol.30 (3), p.285-300 |
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| container_end_page | 300 |
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| container_issue | 3 |
| container_start_page | 285 |
| container_title | Journal of mathematical economics |
| container_volume | 30 |
| creator | Bettzuge, Marc Oliver |
| description | This paper generalises the Mitjushin–Polterovich theorem to the case of economies with incomplete financial markets where utility functions are of the von-Neumann–Morgenstern type. We thus give a sufficient condition on the joint distribution of the asset payoffs and the endowments which guarantees strict monotonicity of individual demand functions if the utility functions display small relative risk aversion. |
| doi_str_mv | 10.1016/S0304-4068(97)00046-3 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0304-4068 |
| ispartof | Journal of mathematical economics, 1998-10, Vol.30 (3), p.285-300 |
| issn | 0304-4068 1873-1538 |
| language | eng |
| recordid | cdi_proquest_journals_227956257 |
| source | RePEc; Elsevier ScienceDirect Journals Complete |
| subjects | Demand functions Economic models Economic theory Incomplete markets Mathematical analysis Monotonicity Risk aversion Uniqueness Utility functions |
| title | An extension of a theorem by Mitjushin and Polterovich to incomplete markets |
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