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On Choquet prices in a GEI-model with intermediation costs


Bettzüge, Marc Oliver; Hens, Thorsten; Laitenberger, Marta; Siwik, Thomas (2000). On Choquet prices in a GEI-model with intermediation costs. Research in Economics, 54(2):133-152.

Abstract

This article analyses whether the representation of asset prices by Choquet integration can be justified from a general equilibrium point of view. We demonstrate that if transaction costs functionals are increasing in the volume of trade, positive homogeneous and satisfy an additivity condition, the equilibrium price functional typically does not satisfy all the Choquet properties. Whereas subadditivity and positive homogeneity can be shown to hold for the equilibrium price functional, this is generally not the case for monotonicity and additivity of prices for comonotone income streams.

Abstract

This article analyses whether the representation of asset prices by Choquet integration can be justified from a general equilibrium point of view. We demonstrate that if transaction costs functionals are increasing in the volume of trade, positive homogeneous and satisfy an additivity condition, the equilibrium price functional typically does not satisfy all the Choquet properties. Whereas subadditivity and positive homogeneity can be shown to hold for the equilibrium price functional, this is generally not the case for monotonicity and additivity of prices for comonotone income streams.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Social Sciences & Humanities > Economics and Econometrics
Language:English
Date:June 2000
Deposited On:24 Nov 2020 09:30
Last Modified:25 Nov 2020 21:01
Publisher:Elsevier
ISSN:1090-9443
OA Status:Closed
Publisher DOI:https://doi.org/10.1006/reec.1999.0214
Related URLs:https://www.sciencedirect.com/science/article/abs/pii/S1090944399902144 (Publisher)
Other Identification Number:merlin-id:19957

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