Article
An Analysis of Extreme Price Shocks and Illiquidity among Trend Followers
Asia-Pacific Futures Research Symposium 20th APFRS 2010, February 21
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
City or Country
Hong Kong
Citation Information
Bernard LEE, Shih-Fen CHENG and Annie KOH. "An Analysis of Extreme Price Shocks and Illiquidity among Trend Followers" Asia-Pacific Futures Research Symposium 20th APFRS 2010, February 21 (2010) Available at: http://works.bepress.com/sfcheng/32/
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