The no-trade interval of Dow and Werlang: Some clarifications

Article dans une revue: The aim of this paper is two-fold: first, to emphasize that the seminal result of Dow and Werlang (1992) remains valid under weaker conditions, and this even if non-positive prices are considered, or equally that the no-trade interval result is robust when considering assets which can yield non-positive outcomes. Second, to make precise the weak uncertainty aversion behavior characteristic of the existence of such an interval.

Auteur(s)

Alain Chateauneuf, Caroline Ventura

Revue
  • Mathematical Social Sciences
Date de publication
  • 2010
Mots-clés JEL
D81
Mots-clés
  • Choquet expected utility
  • No-trade interval
  • Perfect hedging
  • Comonotone diversification
  • Capacity
Pages
  • 1-14
Version
  • 1
Volume
  • 59