English, Article edition: EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS DAMIR FILIPOVIÄ; MICHAEL KUPPER

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Physical Description
  • article
Language
  • English

Edition details

Title
  • EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
Author
  • DAMIR FILIPOVIÄ
  • MICHAEL KUPPER
Physical Description
  • article
Notes
  • This paper provides sufficient and necessary conditions for the existence of equilibrium pricing rules for monetary utility functions under convex consumption constraints. These utility functions are characterized by the assumption of a fully fungible numeraire asset ("cash"). Each agent's utility is nominally shifted by exactly the amount of cash added to his endowment. We find the individual maximum utility that each agent is eligible for in an equilibrium and provide a game theoretic point of view for the fair allocation of the aggregate utility.
  • Existence of equilibrium prices, monetary utility functions, Pareto optimal allocation, convex consumption constraints
  • RePEc:wsi:ijtafx:v:11:y:2008:i:03:p:325-343
Language
  • English
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