Showing papers in "Journal of Mathematical Economics in 2009"

TL;DR: In this paper, the authors characterize preference relations over bounded below Anscombe and Aumann's acts and give necessary and sufficient conditions that guarantee the existence of a utility function u on consequences, a confidence function ϕ on the set of all probabilities over states of nature, and a positive threshold level of confidence α 0 such that our preference relation has a functional representation.

TL;DR: Chichilnisky, G. as discussed by the authors extended the notion of rationality with new axioms of choice under uncertainty and the decision criteria they imply, and characterized the implied decision criteria as a combination of expected utility with extremal responses.

TL;DR: In this paper, an axiomatic approach of Time Consistent Pricing Procedure (TCPP), in a model free setting, was introduced to assign to every financial position a dynamic ask (resp. bid) price process.

TL;DR: In this paper, the authors consider a two-date model of a financial exchange economy with finitely many agents having nonordered preferences and portfolio constraints, and prove a general existence result of equilibria for such a model.

TL;DR: In this paper, the authors consider the asset allocation problem of an investor allocating his funds between several corporate bonds and a money market account, and analyze the impact of contagion on an investor's demand for corporate bonds.

TL;DR: In this paper, a two-sided variant of Choquet expected utility (CEU) with possibly different capacities for gains and losses, and linear utility was derived for decision under uncertainty.

TL;DR: In this article, the authors characterize a rule in minimum cost spanning tree problems using an additivity property and some basic properties, such as symmetry and separability, and show that if the set of possible agents has at least three agents, then the rule must add positivity.

TL;DR: In this article, the authors compare the first-price auction without resale (FPA) with those of the first price auction with resale, and show that resale possibilities increase the revenue of the original seller.

TL;DR: In this article, the authors consider an incomplete market model with numeraire assets, where each household faces an individual constraint on its participation in the asset market and the constraint depends not only on the asset portfolio, but also on asset and good prices.

TL;DR: In this article, it was shown that the results of Milgrom-Weber [Milgrom, P.R., Weber, R.J., 1985] are valid for action sets with a countably infinite number of elements.

TL;DR: In this article, the authors proposed a dynamic consumption-savings-portfolio choice model in which the consumer-investor maximizes the expected value of a non-additively separable utility function of current and future consumption.

TL;DR: In this article, the optimal consumption choice of investors who do not tolerate any decline in their consumption rate is analyzed for all Bernoulli utility functions, not only those of CRRA type.

TL;DR: In this article, a variant of Podczeck's condition was shown to be a sufficient condition for the existence of pure-strategy Nash equilibria in a large non-anonymous game G when defined on an atomless probability space (T, T, λ ) not necessary rich, and equipped with a common uncountable compact metric space of actions A.

TL;DR: In this article, the consequences of allowing preferences over acts with unbounded utility are explored under certain regularity assumptions about indifference, and in order to respect (uniform) strict dominance between acts, there will be a strict preference between some pairs of acts that have the same distribution of outcomes.

TL;DR: In this article, the authors provided qualitative properties of the iterated function system generated by the optimal policy function for a class of stochastic one-sector optimal growth models, explicitly in terms of the primitives of the model.

TL;DR: In this article, a stopping problem where the decision maker is driven by anticipated ex-post regret is analyzed, and two sources of potential dynamic inconsistency are identified: arrival of information and changing choice opportunities over time.

TL;DR: In this paper, the authors considered a general class of single or multi-unit auctions of indivisible objects and proved that each bid is chosen in order to equalize the marginal benefit to the marginal cost of bidding.

TL;DR: In this paper, the authors show that market equilibria may fail to be efficient even if the planner is not allowed to enforce exclusivity of trades (third best inefficiency) in a nonexclusive insurance market affected by moral hazard.

TL;DR: In this article, the authors established a convergence result for equilibria in systems of social interactions with many locally and globally interacting players, assuming spacial homogeneity and that interactions between dierent agents are not too strong.

TL;DR: In this article, Majumdar and Mas-Collel provide a weaker nonsatiation assumption than the one commonly used in the literature to ensure the existence of competitive equilibrium.

TL;DR: In this paper, Allouch et al. unify and generalize the existence results in Werner and Le Van's 1987 paper on arbitrage and equilibrium in unbounded exchange economies with satiation.

TL;DR: In this article, the authors develop axiomatic foundations of the principal's and agent's choice behaviors that are representable by the maximization of the minimum expected utility over action-dependent sets of priors.

TL;DR: This paper showed that the introduction of ambiguity and ambiguity aversion may induce investors to restrict their trading to a simpler set of assets, relative to which they are less likely to make errors, which may induce them to make mistakes.

TL;DR: The graph-theoretic representation of stable assignments is examined and it is shown that the graph structure can be exploited to compute surplus shares in TU-stable assignments.

TL;DR: In this article, the problem of designing tournament contracts under limited liability and alternative performance measures is considered, where the best performing agent receives an extra premium if the liability constraint becomes binding.

TL;DR: In this paper, a model of a local public goods economy with a continuum of agents and jurisdictions with finite but unbounded populations is introduced, where the set of possible projects for each jurisdiction/club is unrestricted in size.

TL;DR: In this paper, a unified treatment of the production and financial decisions available to a firm facing frictionless financial markets and a stochastic production technology under minimal assumptions about the firm's technology and objective function is presented.

TL;DR: In this article, the authors studied price stability of a capital market, where the dynamics of participants' opinion formations is formalized using social network models and found that factors of highly connected networks and balanced weight allocation on information sources can in fact be stabilizing.

TL;DR: In this article, the authors extend the oligopolistic model of price competition to environments with multiple goods, heterogeneous consumers, and arbitrary continuous cost functions, and show that a Nash equilibrium in mixed strategies with an endogenous sharing rule is proven to exist.

TL;DR: Araujo and Moreira as discussed by the authors extended the Baron and Myerson model of monopoly regulation to bidimensional adverse selection: both the marginal cost and the fixed cost of the monopoly are unknown to the regulator.