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Linear sharing rules

Huang, J (2002) Linear sharing rules. Working Paper. The Department of Accounting and Finance, Lancaster University.

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    Abstract

    We derive necessary and sufficient conditions for a Pareto optimal sharing rule to be linear in wealth and for all Pareto optimal sharing rules to be linear in wealth. We also show that when agents belief have a particular feature a Pareto optimal sharing rule is linear in wealth if and only if all Pareto optimal sharing rules are linear. The results obtained in this paper generalize those on linear sharing rules in the existing literature. Unlike the special case when aggregate wealth is dependent on a state variable, even if all Pareto optimal sharing rules are linear it is not necessary that agents utility functions be of the equicautous HARA class.

    Item Type: Monograph (Working Paper)
    Subjects:
    Departments: Lancaster University Management School > Accounting & Finance
    ID Code: 48621
    Deposited By: ep_importer_pure
    Deposited On: 11 Jul 2011 22:02
    Refereed?: No
    Published?: Published
    Last Modified: 27 Jul 2012 01:11
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/48621

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