Showing papers in "Journal of Mathematical Economics in 2001"

TL;DR: In this paper, the authors consider a simple multi-asset discrete-time model of a currency market with transaction costs assuming the finite number of states of the nature and define necessary and sufficient conditions for the absence of arbitrage.

TL;DR: In this article, the problem of optimal consumption and portfolio in a jump diffusion market in the presence of proportional transaction costs for an agent with constant relative risk aversion utility was considered and the solution in the jump diffusion case has the same form as in the pure diffusion case first solved by Davis and Norman.

TL;DR: In this article, the authors study a generalization of Shapley-Scarf's [Journal of Mathematical Economics 1 (1974) 23−37] economy in which multiple types of indivisible goods are traded and show that many of the distinctive results from the Shapley -Scarf economy do not carry over to this model, even if agents' preferences are strict and can be represented by additively separable utility functions.

TL;DR: In this paper, a general characterization of implementability in terms of h -convexity is provided for adverse selection with a continuum of types, which enables to write the principal's program as a variational problem with h −concaveity constraint for which existence of a solution is proved.

TL;DR: In this article, the authors developed a real option approach to characterize the optimal timing of when to adopt an incumbent technology, incorporating as an embedded option a technologically uncertain prospect for updating the technology to future superior versions.

TL;DR: In this article, the authors analyze the private provision of discrete public good games with incomplete information and continuous contributions and show that in this range of cost, the subscription game is superior to the contribution game.

TL;DR: In this paper, the signed Choquet integral is used to model violations of separability and monotonicity, and applications to intertemporal preference, asset pricing, and welfare evaluations are discussed.

TL;DR: In this paper, a class of voting procedures, located between simple and unanimous majorities, is introduced and characterized, where the winning alternative is the one with a number of votes exceeding that obtained by the other in a previously fixed quantity.

TL;DR: In this paper, a general version of the model of competitive equilibrium with restricted participation on financial markets is presented to accommodate a wide range of portfolio constraints while at the same time still permitting (generically) differential analysis of the dependence of financial equilibria on "fundamental" parameters.

TL;DR: In this article, the authors examined a sub-game perfect equilibrium of a two-stage game in an oligopoly in which n (n ≥ 2) firms produce differentiated (substitutable) goods.

TL;DR: In this article, it was shown that the optimal terminal wealth is given as the inverse of marginal utility evaluated at the random variable, which is optimal for an appropriately defined dual problem.

TL;DR: In this article, the authors considered a multi-dimensional screening problem where the number of consumer characteristics, m, differs from the quantity of goods produced by a monopolist, and showed that the qualitative features of solution are similar to those obtained by Rochet and Chone (1998) for the case n = m.

TL;DR: In this paper, the authors present a complete analysis of a stochastic version of the Solow growth model in which all parameters are ergodic random variables and prove that the dynamics and, in particular, the long-run behavior is uniquely determined by a globally attracting stable random fixed point.

TL;DR: In this article, a generalized concept of competitive equilibrium, called hierarchic equilibrium, was proposed, and the existence of a Pareto optimal hierarchical equilibrium was shown without a strong survival assumption and without a non-satiation condition on the preferences.

TL;DR: In this paper, the authors consider a principal who is eager to induce his agents to work at their maximal effort levels, and he samples n days at random out of the T days on which they work, and awards a prize of B dollars to the most productive agent.

TL;DR: In this paper, the existence of unemployment is partly explained as being the result of coordination failures, and it is shown that as a result of self-fulfilling pessimistic expectations, a continuum of equilibria results, among which an equilibrium with approximately no trade and a Walrasian equilibrium.

TL;DR: In this article, a general Lagrangian for the moral hazard problem was established, which generalizes the well known first-order approach (FOA) and requires that besides the multiplier of the first order condition, there exist multipliers for the second-order condition and for the binding actions of the incentive compatibility constraint.

TL;DR: In this article, a general framework for analyzing complex economic and social environments is proposed, where the solution concept for a general system is given by the notion of a ϕ-stable set.

TL;DR: In this paper, the authors investigate the equilibrium implications of the presence of non-linearly taxed, redundant securities, and of the resulting tax-arbitrage opportunities, and show that this mispricing is set so that agents effectively cooperate to minimize aggregate taxes, even though individually each agent may not minimize his own tax bill.

TL;DR: In this article, the authors show that the absence of free lunches in such models is equivalent to the existence of a family of absolutely continuous probability measures for which the normalized securities price processes are martingales.

TL;DR: In this paper, an investment/hedging problem in a multi-stock financial market with random appreciation rates was investigated, and only those strategies with bounded risks (i.e., they guarantee that a given claim will be replicated with an error not exceeding a given level) were considered.

TL;DR: In this paper, the authors investigate the effect of self-relevance on implementability in self-relevant mechanisms, where each agent announces only his own preferences together with an outcome.

TL;DR: In this article, the authors characterize in terms of decentralizing prices several notions of core allocations resulting from different possible restrictions imposed to the set of blocking coalitions and study reciprocal relations among cores.

TL;DR: In this article, a new axiomatization of rank-dependent expected utility by relaxing tradeoff consistency to hold only when the involved outcomes are equally likely is proposed, which is simpler and intuitively more appealing than the original condition.

TL;DR: In this article, the authors consider a general equilibrium model with externalities and nonconvexities in production and prove the existence of general equilibria under assumptions which allow them to encompass together the works on economies with externality and convex conditional production sets, and those on marginal pricing equilibrium in economies without externalities.

TL;DR: In this article, the authors consider a model where any investment opportunity is described in terms of cash flows, and they consider different possible definitions of admissible prices for a contingent flow, mainly related to arbitrage and equilibrium considerations.

TL;DR: In this article, it is shown that an interior stationary equilibrium allocation at which the agents common matrix of intertemporal rates of substitution has a Perron root which is less than or equal to one is conditionally Pareto optimal (CPO).

TL;DR: In this article, the existence theorem for equilibria in production economies with increasing returns was proved for non-convex-valued correspondences defined on non-smooth topological manifolds.

TL;DR: In this article, the authors consider a production economy with incomplete stock markets and demonstrate non-existence of equilibrium for a set of endowments with a positive measure in such an economy.