Theory of Value

American Economic Association

This article presents the general structure of the question justice in society, its three polar cases which relate to the benefits from the human resources, their difficulties with Pareto-efficiency, and the solutions of these dilemma, notably for the central case where individuals a priori own only their consumptive capacities. This solution is a multidimensional maximin which leads to super-equity (no individual prefers any average of the individuals' allocations to his own). The properties of efficient super-equity are then shown: limits to the dispersion of incomes and relations with equal income, preference to all equal allocations, determination of the redistributive tax-subsidies, relations with other principles. Finally, the efficient implementation of standard ethical positions consists of the equalizing redistribution of incomes earned during a fixed duration while the other earned incomes are untaxed.

The theory of justice

The traditional pricing methodology in finance values derivative securities as redundant assets that have no impact on equilibrium prices and allocations. This paper demonstrates that, when the market is incomplete, primary and derivative asset markets, generically, interact: the valuation of derivative and primary security prices depend on the contractual characteristics of the derivative assets available. In a version of the Mossin mean-variance model, the authors analyze an equilibrium in which a call option (derivative asset) is traded and the equilibrium stock price (primary asset) increases when the options market is opened. Copyright 1991 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

A General Equilibrium Analysis of Option and Stock Market Interactions

In this survey, the history of the subject from 1776 until 1960 is presented. A brief biographical sketch of Vilfredo Pareto is given first. Then, the more or less simultaneous development of the concepts of utility, preference, and welfare theory follows, with results which go back to Hausdorff and Cantor. A brief discussion of the work of Borel and von Neumann as initiators of game theory is included. Each of these areas has developed enough to warrant its own survey; hence, they are reviewed here only insofar as they provide necessary foundations. Thereafter, the concepts of efficiency, vector maximum problem, and Pareto optimality are reviewed in connection with production theory, programming, and economics. The survey is presented within a unified mathematical framework, and the emphasis is on mathematical results, rather than psychological or socio-economic discussion. To enable the reader to draw conclusions without having to obtain each article himself, the results have been presented in somewhat more detail than usual.

A survey of multicriteria optimization or the vector maximum problem, part I: 1776–1960

This second edition provides a rigorous yet accessible graduate-level introduction to financial economics. Since students often find the link between financial economics and equilibrium theory hard to grasp, less attention is given to purely financial topics, such as valuation of derivatives, and more emphasis is placed on making the connection with equilibrium theory explicit and clear. This book also provides a detailed study of two-date models because almost all of the key ideas in financial economics can be developed in the two-date setting. Substantial discussions and examples are included to make the ideas readily understandable. Several chapters in this new edition have been reordered and revised to deal with portfolio restrictions sequentially and more clearly, and an extended discussion on portfolio choice and optimal allocation of risk is available. The most important additions are new chapters on infinite-time security markets, exploring, among other topics, the possibility of price bubbles.

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Theory of Value

Citations

American Economic Association

The theory of justice

A General Equilibrium Analysis of Option and Stock Market Interactions

A survey of multicriteria optimization or the vector maximum problem, part I: 1776–1960

Principles of Financial Economics

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