On Choquet Prices in a Gei-Model with Intermediation Costs

Posted: 22 Jan 2001

See all articles by Marc Oliver Bettzuge

Marc Oliver Bettzuge

University of Zurich - Department of Economics; McKinsey & Co. Inc.

Thorsten Hens

University of Zurich - Department of Banking and Finance; Norwegian School of Economics and Business Administration (NHH); Swiss Finance Institute

Marta Laitenberger

University of Bonn

Thomas Siwik

Deloitte & Touche GmbH

Abstract

This article analyses whether the representation of asset prices by Choquet integration can be justified from a general equilibrium point of view. We demonstrate that if transaction costs functionals are increasing in the volume of trade, positive homogeneous and satisfy an additivity condition, the equilibrium price functional typically does not satisfy all the Choquet properties. Whereas subadditivity and positive homogeneity can be shown to hold for the equilibrium price functional, this is generally not the case for monotonicity and additivity of prices for comonotone income streams.

JEL Classification: G12, D43, D52

Suggested Citation

Bettzuge, Marc Oliver and Hens, Thorsten and Laitenberger, Marta and Siwik, Thomas, On Choquet Prices in a Gei-Model with Intermediation Costs. Research in Economics, Vol. 54, No. 2, June 2000. Available at SSRN: https://ssrn.com/abstract=232911

Marc Oliver Bettzuge

University of Zurich - Department of Economics

Zuerich, 8006
Switzerland

McKinsey & Co. Inc.

Konigsallee 60C
K-40027 Dusseldorf, Quebec
Germany

Thorsten Hens (Contact Author)

University of Zurich - Department of Banking and Finance ( email )

Plattenstrasse 32
Zurich, 8032
Switzerland
+41-44 634 37 06 (Phone)

Norwegian School of Economics and Business Administration (NHH)

Helleveien 30
Bergen, 5045
Norway

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Marta Laitenberger

University of Bonn

Postfach 2220
Bonn, D-53012
Germany

Thomas Siwik

Deloitte & Touche GmbH ( email )

Schwannstr. 6
DE-40476 Düsseldorf
Germany
004921187722147 (Phone)
004921187722443 (Fax)

HOME PAGE: www.deloitte.de

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