Linear sharing rules

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

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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)
Uncontrolled Keywords: /dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 48621
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 21:02
Refereed?: No
Published?: Published
Last Modified: 28 Feb 2020 00:26

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