Title

An Analysis of Extreme Price Shocks and Illiquidity among Trend Followers

Publication Type

Presentation

Publication Date

2-2010

Abstract

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.

Keywords

Collective model, intrahousehold resource allocation, bargaining, separability

Discipline

Artificial Intelligence and Robotics | Business | Operations Research, Systems Engineering and Industrial Engineering

Research Areas

Intelligent Systems and Decision Analytics

Publication

Asia-Pacific Futures Research Symposium 20th APFRS 2010, February 21

City or Country

Hong Kong

Comments

Also presented in the R/Rmetrics Singapore Conference 2010 - Computational Topics in Finance, Singapore, February 2010 and 5th International Symposium on Financial Engineering and Risk Management, Taipei, Taiwan, June 2010

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