A BEJM Topics article.

Abstract

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.

Submitted: February 16, 2006 · Accepted: April 14, 2006 · Published: April 19, 2006

Originally published in Topics in Macroeconomics.

Recommended Citation

Koeppl, Thorsten V. (2006) "Differentiability of the Efficient Frontier when Commitment to Risk Sharing is Limited," Topics in Macroeconomics: Vol. 6 : Iss. 1, Article 10.
Available at: http://www.bepress.com/bejm/topics/vol6/iss1/art10