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research article
Equilibrium Prices for Monetary Utility Functions
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.
Type
research article
Authors
Publication date
2008
Publisher
Volume
11
Issue
3
Start page
325
End page
343
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
April 27, 2010
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