Constrained Efficiency Without Commitment

Victor Filipe Martins da Rocha (1, 2) , Yiannis Vailakis (3)

1 EESP - Sao Paulo School of Economics
2 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
3 Adam Smith Business School

We consider an infinite horizon economy where agents share income risks by trading a complete set of contingent claims but cannot commit to their promises. Allocations are restricted to be self-enforcing relative to autarchic reservation utilities. We provide a general characterization of constrained Pareto efficiency without assuming that there are uniform gains to trade. Our results extend those in Bloise and Reichlin (2011) in several aspects.

Mots clés: Limited Commitment; Constrained Pareto Efficiency; High Implied Interest Rates

Domaines: Economies et finances

Victor Filipe Martins da Rocha, Yiannis Vailakis. Constrained Efficiency Without Commitment. Journal of Mathematical Economics, 2015, 61, pp.276-286. ⟨10.1016/j.jmateco.2015.09.010⟩. ⟨hal-01097121v2⟩