An Analysis of Extreme Price Shocks and Illiquidity among Trend Followers

An Analysis of Extreme Price Shocks and Illiquidity among Trend Followers

We consdier a collective model of household in which each member has a utility function satisfying the weak separability condition. We show that the separability at the individual level carries over to the house hold level and that the allocation of private goods in any paraeto-efficient allocation...

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Bibliographic Details
Main Authors: LEE, Bernard, CHENG, Shih-Fen, KOH, Annie
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
Subjects:
Collective model
intrahousehold resource allocation
bargaining
separability
Artificial Intelligence and Robotics
Business
Operations Research, Systems Engineering and Industrial Engineering
Online Access:https://ink.library.smu.edu.sg/sis_research/1484
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Institution: Singapore Management University
Language: English
Description
Summary:We consdier a collective model of household in which each member has a utility function satisfying the weak separability condition. We show that the separability at the individual level carries over to the house hold level and that the allocation of private goods in any paraeto-efficient allocation can be supported as a Pareto-efficient allocatino of the private sub-problem. We also provide the necessar and sufficient condition for the Pareto weight for the private sub-problem to move in the same direction as the household Pareto weight.

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