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2010-07-06Diskussionspapier DOI: 10.18452/4263
Efficiency and Equilibria in Games of Optimal Derivative Design
dc.contributor.authorHorst, Ulrich
dc.contributor.authorMoreno-Bromberg, Santiago
dc.date.accessioned2017-06-16T00:10:23Z
dc.date.available2017-06-16T00:10:23Z
dc.date.created2010-07-09
dc.date.issued2010-07-06
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4915
dc.description.abstractIn this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. In contrast with the principal-agent models that are extended within, here the presence of ties in the agents' best-response correspondences yields discontinuous payoff functions for the agencies. These discontinuities are dealt with via efficient tie-breaking rules. The main results of this paper are a proof of existence of (mixed-strategies) Nash equilibria in the case of profit-maximizing agencies, and of socially efficient allocations when the firms are risk minimizers. It is also shown that in the particular case of the entropic risk measure, there exists an efficient "fix-mix" tie-breaking rule, in which case firms share the whole market over given proportions.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectAdverse selectioneng
dc.subjectNash equilibriaeng
dc.subjectPareto optimalityeng
dc.subjectrisk transfereng
dc.subjectsocially efficient allocationseng
dc.subjecttie-breaking ruleseng
dc.subject.ddc330 Wirtschaft
dc.titleEfficiency and Equilibria in Games of Optimal Derivative Design
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100172603
dc.identifier.doihttp://dx.doi.org/10.18452/4263
local.edoc.pages37
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2010
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2010,35

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