On risk averse competitive equilibrium
Published in Operations Research Letters, 2018
Recommended citation: Gérard, Henri, Vincent Leclère, and Andy Philpott. "On risk averse competitive equilibrium." Operations Research Letters 46.1 (2018): 19-26. https://www.sciencedirect.com/science/article/pii/S0167637717303383
We discuss risked competitive partial equilibrium in a setting in which agents are endowed with coherent risk measures. In contrast to social planning models, we show by example that risked equilibria are not unique, even when agents’ objective functions are strictly concave. We also show that standard computational methods find only a subset of the equilibria, even with multiple starting points.