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:	2006
Authors:	Koeppl, Thorsten
Published in:	Topics in Macroeconomics. - Berkeley Electronic Press. - Vol. 6.2006, 1, p. 1419-1419
Publisher:	Berkeley Electronic Press
Subject:	risk sharing \| limited commitment \| differentiability

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Extent:	application/pdf
Type of publication:	Article
Notes:	oai:bepress:bejm-1419
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005751349