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We consider the standard discrete-time model of a frictionless financial market and show that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value. In contrast to the classical no-arbitrage criteria, this density process may...
Persistent link: https://www.econbiz.de/10005390695
In this note, we state a zero-maximum principle for core allocations, a result which was foreseen by Luenberger (1995). We prove a generalization of the first-zero maximum theorem of Luenberger. Roughly said, an allocation is in the core if for every coalition, the sum of individual benefit...
Persistent link: https://www.econbiz.de/10004977751
Persistent link: https://www.econbiz.de/10010852454
This paper applies the mean field game approach pioneered by Lasry and Lions [2007] to the analysis of researchers? academic productivity. It provides a theoretical motivation for the stability of the universally observed Lotka?s law. It shows that a remuneration scheme taking into account...
Persistent link: https://www.econbiz.de/10010852457
Dans cet article nous développons l'approche de l'information de Theil [1975] au problème de la sélection de portefeuille. L'équation matricielle fondamentale de la théorie de la sélection de portefeuille est résolue et les propriétés des demandes d'actifs sont étudiées. L'accent est...
Persistent link: https://www.econbiz.de/10008505509
This paper presents an application of new measures of research excellence, namely Hirsch's index (2005) and derived indexes. It gives a ranking of French departments of Economics, departments of Management and Business schools based on the quality of the academic environment offered by these...
Persistent link: https://www.econbiz.de/10008488394
Persistent link: https://www.econbiz.de/10005296405
The purpose of this note is to study first a notion of a surplus function that originates in the work of [Boiteux, M., 1951. Le Revenu Distribuable et les Pertes Économiques. Econometrica 112-133] and to rely upon this notion to study dual Pareto efficiency in an exchange economy. This...
Persistent link: https://www.econbiz.de/10005362503