Equilibrium theory with satiable and non-ordered preferences

Won, Dong Chul; Yannelis, Nicholas C.

doi:10.1016/j.jmateco.2010.12.019

Cited by 2 publications

(2 citation statements)

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“…Afterwards Allouch and Le Van in [1] and [2] provided a weaker nonsatiation assumption to ensure the existence of competitive equilibria (see also [18]). Eventually Won and Yannelis in [21] generalized all classical equilibrium results to allow for possibly satiable preferences.…”

Section: Introductionmentioning

confidence: 99%

Higher-Order Optimality Conditions in Set-Valued Optimization with Respect to General Preference Mappings

Michalak

Studniarski

2022

Set-Valued Var. Anal

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We present higher order necessary conditions for a model of welfare economics, where the preference mapping has a star-shape property. We assume that the preferences can be satiable and can be described by an arbitrary preference set, without the use of utility functions. These conditions are formulated in terms of higher-order directional derivatives of multivalued mappings, and the variable domination structure is not given by cones.

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Section: Introductionmentioning

confidence: 99%

Higher-Order Optimality Conditions in Set-Valued Optimization with Respect to General Preference Mappings

Michalak

Studniarski

2022

Set-Valued Var. Anal

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“…Zabarankin, Pavlikov, and Uryasev (2014) uses the Conditional Drawdown-atRisk (CDaR) measure to study optimal portfolio selection and CAPM-like equilibrium models. Won and Yannelis (2011) examine equilibrium with an application to financial markets without a riskless asset where uncertainty makes preferences incomplete. They assume a normal distribution for the mean return with an uncertain mean, and adopt a min-max approach using an ellipsoidal representation as in the present paper.…”

Section: Introductionmentioning

confidence: 99%

Equilibrium in an ambiguity-averse mean–variance investors market

Pınar

2014

European Journal of Operational Research

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a b s t r a c tIn a financial market composed of n risky assets and a riskless asset, where short sales are allowed and mean-variance investors can be ambiguity averse, i.e., diffident about mean return estimates where confidence is represented using ellipsoidal uncertainty sets, we derive a closed form portfolio rule based on a worst case max-min criterion. Then, in a market where all investors are ambiguity-averse mean-variance investors with access to given mean return and variance-covariance estimates, we investigate conditions regarding the existence of an equilibrium price system and give an explicit formula for the equilibrium prices. In addition to the usual equilibrium properties that continue to hold in our case, we show that the diffidence of investors in a homogeneously diffident (with bounded diffidence) mean-variance investors' market has a deflationary effect on equilibrium prices with respect to a pure mean-variance investors' market in equilibrium. Deflationary pressure on prices may also occur if one of the investors (in an ambiguity-neutral market) with no initial short position decides to adopt an ambiguity-averse attitude. We also establish a CAPM-like property that reduces to the classical CAPM in case all investors are ambiguity-neutral.

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Equilibrium theory with satiable and non-ordered preferences

Cited by 2 publications

References 25 publications

Higher-Order Optimality Conditions in Set-Valued Optimization with Respect to General Preference Mappings

Higher-Order Optimality Conditions in Set-Valued Optimization with Respect to General Preference Mappings

Equilibrium in an ambiguity-averse mean–variance investors market

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