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

Abstract 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 V.
Published in:	Contributions in Macroeconomics. - De Gruyter, ISSN 1534-6005, ZDB-ID 2040061-5. - Vol. 6.2006, 1, p. 1-6
Publisher:	De Gruyter
Subject:	risk sharing \| limited commitment \| differentiability

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.2202/1534-5998.1419 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10015359922