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Journal Articles Operations Research Letters Year : 2018

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' 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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hal-01539997 , version 1 (15-06-2017)

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Henri Gérard, Vincent Leclère, Andy Philpott. On risk averse competitive equilibrium. Operations Research Letters, 2018, ⟨10.1016/j.orl.2017.10.011⟩. ⟨hal-01539997⟩
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