Showing papers in "Journal of Mathematical Economics in 1991"

TL;DR: In this article, the authors provide sufficient conditions for a dynamic consumption portfolio problem in continuous time to have a solution when the price processes satisfy a regularity condition, and all utility functions that are continuous, increasing, concave, and dominated by a strictly concave power function admit a solution.

TL;DR: In this article, the authors present some asset pricing results for the general case in which asset prices can jump, where asset gains (price plus cumulative dividends) processes are assumed to be special semimartingales.

TL;DR: In this article, the authors consider a securities market where there is no arbitrage and a risk-neutral agent has an optimal demand subject to a minimum wealth constraint, yet there are no risk neutral probability measures and no state price density.

TL;DR: In this article, the authors show that the comonotonicity axiom can be significantly weakened while being intuitively meaningful, and that it is dispensable when characterizing some forms of strong uncertainty aversion.

TL;DR: In this article, the core-Walras equivalence theorem for economies with an atomless measure space of agents and with an ordered separable Banach commodity space whose positive cone has a non-empty norm interior was established.

TL;DR: In this paper, the role of lags in dynamic economic models is discussed and the shortcomings of their implicit treatment of Lags are criticized, and an abstract, probabilistic view of LAGs is provided, within which fixed delay lags are shown to be a special case.

TL;DR: In this article, a fixed point theorem is proved and applied to show the existence of equilibrium points of an abstract economy, which is the basis for the present paper, and has been successfully applied to the case of an economic system.

TL;DR: In this paper, the authors provide a complete characterization of the class of social choice correspondences which are implementable under strong Nash equilibrium, by discarding the use of effectivity functions and using instead a variant of the game forms used in the context of Nash implementation.

TL;DR: In this paper, the authors considered a real-valued function on the partitions of a measure space, and provided necessary and sufficient conditions in order that it be the value of information function for a Bayesian decision maker.

TL;DR: In this paper, the duality between direct and indirect utility functions is formulated in the most general possible setting, and a characterization of those functions which can be obtained as the indirect utility function associated with the utility function of a consumer is given.

TL;DR: In this paper, the authors considered non-transferable utility games and provided sufficient conditions for the existence of the bargaining set introduced in Mas-Colell (1989) under weak balancedness.

TL;DR: For a generic set of utility functions of the first consumer, the number of critical equilibria is at most ln at every endowment in exchange economies with l commodities and n agents.

TL;DR: In this paper, the evolution of efficiency distribution in an industry with many firms involved in the processes of innovation and imitation is described by an infinite system of non-linear difference-differential equations.

TL;DR: In this paper, the existence of equilibrium with short sales in complete contingent claim markets is proved. But the result is based on a general equilibrium existence theorem without consumption constraints, which says that an equilibrium exists if there is limited trade surplus.

TL;DR: In this paper, a topology for a class of multistage games is introduced and some properties of this topology are studied, and it is shown that all multi-age games can be approximated by finite multi-stage games, and the main result is that the correspondence mapping multistages games into their subgame-perfect equilibrium outcomes is upper hemicontinuous with respect to the introduced topology.

TL;DR: In this paper, a characterization of preferences R:X → 2 X that admit d -Lipschitz utility functions is presented, and the asymptotic behavior of a dynamical system determined by R is another subject of study.

TL;DR: In this article, it was shown that in a stationary intertemporal economy with recursive utilities, every Pareto optimum is a solution of a generalized McKenzie problem, and generalized technological conditions were defined on that abstract space as well as a recursive criterion on sequences of its elements.

TL;DR: In this paper, a calculus argument about mappings between spaces is used to characterize the kinds of axioms that lead to conclusions similar to that of Arrow's Theorem, and a new class of possibility theorems are derived that hold not only for transitive preferences, but also for utility functions, probability measures, etc.

TL;DR: The authors analyzes the equilibrium allocations of a two-period, pure exchange competitive economy with incomplete financial markets, nominal assets and "extrinsic" uncertainty in the second period.

TL;DR: In this article, the existence of a Pareto-compensated solution for a parametric surplus-sharing problem is studied. But the problem is not restricted to the distribution of private goods, but also to the problem of collusion in an oligopoly.

TL;DR: In this paper, the authors present n -person non-cooperative games for which the problem of finding a Nash equilibrium in pure strategies is unsolvable, even when the utilities of players are restricted to be polynomial functions of the strategies of the players (i.e. are "reasonable" and "simple").

TL;DR: In this article, the authors studied the decentralization of core allocations by price vectors chosen, essentially, to minimize the competitive gap, and they showed that the gap with respect to these gap-minimizing prices goes to zero as the inverse of the square of the number of agents.

TL;DR: In this article, the existence of a general equilibrium for economies with natural exhaustible resources and an infinite horizon is established. But it is argued that the traditional methods for proving existence in economies with an infinite dimensional commodity space cannot be invoked here and an alternative proof is provided.

TL;DR: In this article, the authors give necessary and sufficient conditions for the existence of a representation for a relation by a positive measure for the general case in which the relation is defined on any set of subsets of Ω.

TL;DR: In this article, the authors show that, under those assumptions, generically on initial endowments Walrasian equilibria do not exist, and that the usual financial models describe the commodities as being stochastic processes.

TL;DR: The relationship between payoff information and Bayesian-Nash equilibria is studied in this paper, where a partition model is used to separate information from the underlying distribution of payoffs, yielding an analogue of Milgrom and Weber's condition of absolutely continuous information.

TL;DR: An example in a continuous time security trading model is presented to show that, when predictable trading strategies are used, conditions to preclude arbitrage need not be sufficient to equate security prices with given dividends at the terminal date.

TL;DR: Smoothness of indifference sets is proposed as a weaker notion of smoothness for preference orderings in this article, which is consistent with smooth Hicksian demand functions but not smooth Marshallian demand function.

TL;DR: In this article, it was shown that any neighborhood of the graph of a continuous function f : X → Y can be approximated in the stronger sense of every point in F being close to some point in the graph f.

TL;DR: The main device for selecting the group act suggested in Dubins (1977), and developed in Green and Laffont (1979), was accompanied by an exchange of cash among the members of the group as discussed by the authors.