On risk averse competitive equilibrium

Henri Gérard; Vincent Leclère; Andy Philpott

doi:10.1016/j.orl.2017.10.011

On risk averse competitive equilibrium

Henri Gérard
, Vincent Leclère
, Andy Philpott

École des ponts
Université Gustave Eiffel
University of Auckland

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

We discuss risked competitive partial equilibrium in a setting in which agents are endowed with coherent risk measures. In contrast to social planning models, we show by example that risked equilibria are not unique, even when agents’ objective functions are strictly concave. We also show that standard computational methods find only a subset of the equilibria, even with multiple starting points.

langue originale	Anglais
Pages (de - à)	19-26
Nombre de pages	8
journal	Operations Research Letters
Volume	46
Numéro de publication	1
Les DOIs	https://doi.org/10.1016/j.orl.2017.10.011
état	Publié - 1 janv. 2018

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10.1016/j.orl.2017.10.011

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title = "On risk averse competitive equilibrium",

abstract = "We discuss risked competitive partial equilibrium in a setting in which agents are endowed with coherent risk measures. In contrast to social planning models, we show by example that risked equilibria are not unique, even when agents{\textquoteright} objective functions are strictly concave. We also show that standard computational methods find only a subset of the equilibria, even with multiple starting points.",

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KW - Risk averse equilibrium

KW - Stochastic equilibrium

KW - Stochastic programming

UR - https://www.scopus.com/pages/publications/85034636382

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On risk averse competitive equilibrium

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