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
Authors:	Koeppl, Thorsten
Publisher:	Kingston (Ontario) : Queen's University, Department of Economics
Subject:	Risiko \| Allokation \| Theorie \| Risk Sharing \| Limited Commitment \| Differentiability of Efficient Frontier

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Series:	Queen's Economics Department Working Paper ; 1049
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	555494470 [GVK] hdl:10419/189329 [Handle] RePEC:qed:wpaper:1049 [RePEc]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; E21 - Consumption; Saving
Source:	EconStor

Persistent link: https://www.econbiz.de/10011940667