Nonlinear pricing with arbitrage: on the role of correlation

摘要：

The traditional nonlinear pricing theory tackles the individual incentive compatibility but does not address the possibility that buyers could form coalition to conduct arbitrage. Jeon and Menicucci (2005) study the optimal collusion-proof selling mechanism under asymmetric information. They show that collusion is preventable at no cost when the buyers types are uncorrelated. In this paper we extend their result to the case with correlated types. We find that when the types of agents are weakly negatively correlated, the optimal weakly collusion-proof mechanism calls for distortions away from allocation efficiency obtained without collusion.

关键词： Nonlinear pricing weakly collusion-proof arbitrage correlated types

作者: Dawen Meng Guoqiang Tian

作者单位: International Business School,Shanghai Institute of Foreign Trade;Economics School,Shanghai Universi Department of Economics Texas A&M University,College Station,Texas 77843

会议类型: 国际会议

会议名称: International Symposium on Financial Engineering and Risk Management(2008年金融工程与风险管理)

会议地点: 上海

会议语种:英文

页码: 24-28

在线出版日期: 2008-06-01（万方平台首次上网日期，不代表论文的发表时间）