Multi-agent investment in incomplete markets (Q1887274)

This paper studies the problem of the expected utility maximization for the multi-agent case. If there are various agents, each of them sets can choose the optimal strategy with no cooperation with others. It is, however, possible for all of them to become more beneficial via some cooperative strategy. The choice of such a strategy naturally leads to the Pareto optimum. The authors give a characterization of the Pareto optimal cooperative strategies and a description of the situation where the cooperation strictly Pareto dominates non-cooperation. They prove using the Scarf theorem that the core of the cooperative investment gain is not empty under mild conditions.