Differentiability of the Efficient Frontier when Commitment to Risk Sharing is Limited

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.

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Year of publication:	2004-12
Authors:	Koeppl, Thorsten
Institutions:	Economics Department, Queen's University
Subject:	Risk Sharing \| Limited Commitment \| Differentiability of Efficient Frontier

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 1049 9 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; E21 - Consumption; Saving
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005688329