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
Mots-clés
- Choquet expected utility
- No-trade interval
- Perfect hedging
- Comonotone diversification
- Capacity
Pages
- 1-14
URL de la notice HAL
Version
- 1
Volume
- 59