Multi-agent investment in incomplete markets

DOI10.1007/S00780-003-0115-2zbMath1052.91055OpenAlexW2072514696MaRDI QIDQ1887274

Jian-ming Xia

Publication date: 24 November 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-003-0115-2

zbMATH Keywords

corePareto optimumcooperative investment

Mathematics Subject Classification ID

Cooperative games (91A12) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (14)

Cooperative investment in incomplete markets under financial fairness ⋮ Cooperative Hedging in Incomplete Markets ⋮ The composite iteration algorithm for finding efficient and financially fair risk-sharing rules ⋮ Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization ⋮ A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment ⋮ Optimal collective investment: an analysis of individual welfare ⋮ Cooperative hedging in the complete market under \(g\)-expectation constraint ⋮ A collective investment problem in a stochastic volatility environment: the impact of sharing rules ⋮ Synergy effect of cooperative investment ⋮ Financial risk measures for a network of individual agents holding portfolios of light-tailed objects ⋮ Cooperative hedging with a higher interest rate for borrowing ⋮ Influence of Marketing of Territories on Increase of Investment Activity ⋮ Two-agent Pareto optimal cooperative investment in general semimartingale model ⋮ Extended gradient of convex function and capital allocation

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