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 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.
Collective model, intrahousehold resource allocation, bargaining, separability
Artificial Intelligence and Robotics | Business | Operations Research, Systems Engineering and Industrial Engineering
Intelligent Systems and Decision Analytics
Asia-Pacific Futures Research Symposium 20th APFRS 2010, February 21
City or Country
LEE, Bernard; CHENG, Shih-Fen; and KOH, Annie.
An Analysis of Extreme Price Shocks and Illiquidity among Trend Followers. (2010). Asia-Pacific Futures Research Symposium 20th APFRS 2010, February 21. Research Collection School Of Information Systems.
Available at: http://ink.library.smu.edu.sg/sis_research/1484