期刊
JOURNAL OF ECONOMIC THEORY
卷 125, 期 2, 页码 93-150出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.jet.2004.05.008
关键词
Pareto optimal allocations; risk-sharing; dynamics; risk-sensitivity
类别
This paper describes Pareto optimal allocations when agents have risk-sensitive preferences as formulated by Hansen and Sargent (IEEE Trans. Automat. Control 40(5) (1995) 968-971). Necessary and sufficient conditions are given for the existence and stability of steady states at which Pareto weights are time-invariant. When all agents are risk-sensitive with the same power reward function there is a unique interior steady state which is stable when the power is positive and unstable when the power is negative. When there is at least one agent with time-additive preferences eventually all risk-sensitive agents have zero Pareto weights. (c) 2004 Elsevier Inc. All rights reserved.
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