The no-trade interval of Dow and Werlang : some clarifications

The aim of this paper is two-fold : first, to emphasize that the seminal result of Dow and Werlang [7] remains valid under weaker conditions, and this even if non-positive prices are considered, or equally that the no-trade interval result is robust when considering assets which can yield non-positive outcomes. Second, to make precise the weak uncertainty aversion behavior characteristic of the existence of such and interval.

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Year of publication:	2009-02
Authors:	Chateauneuf, Alain ; Ventura, Caroline
Institutions:	HAL
Subject:	Choquet expected utility \| no-trade interval \| perfect hedging \| comonotone diversification \| capacity

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00442861
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010738516