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Idiosyncratic risk and financial policy

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Carvajal, Andrés M. and Polemarchakis, Herakles. (2011) Idiosyncratic risk and financial policy. Journal of Economic Theory, Vol.146 (No.4). pp. 1569-1597. ISSN 0022-0531

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Official URL: http://dx.doi.org/10.1016/j.jet.2011.03.012

Abstract

In economies subject to uninsurable idiosyncratic risks, competitive equilibrium allocations are constrained inefficient: reallocations of assets support Pareto superior allocations. This is the case even if the asset market for the allocation of aggregate risks is complete.

Item Type:	Journal Article
Subjects:	H Social Sciences > HB Economic Theory
Divisions:	Faculty of Social Sciences > Economics
Library of Congress Subject Headings (LCSH):	Risk, Constrained optimization
Journal or Publication Title:	Journal of Economic Theory
Publisher:	Academic Press
ISSN:	0022-0531
Date:	July 2011
Volume:	Vol.146
Number:	No.4
Page Range:	pp. 1569-1597
Identification Number:	10.1016/j.jet.2011.03.012
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
Funder:	Yale University. Cowles Foundation for Research in Economics
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URI:	http://wrap.warwick.ac.uk/id/eprint/38600