Differentiability Of The Efficient Frontier When Commitment To Risk Sharing Is Limited

QED Working Paper Number
1049

This paper shows that the value function describing efficient risk sharing with limited commitment is not necessarily differentiable everywhere. We link differentiability of the value function to history dependence of efficient allocations and provide sufficient conditions for both properties.

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Keywords

Risk Sharing
Limited Commitment
Differentiability of Efficient Frontier

Working Paper

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