Financial equilibrium with non-linear valuations

DOI10.1007/S10436-017-0312-1MaRDI QIDQ1648908zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan

Publication date 5 July 2018

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-017-0312-1

zbMATH Keywords

acceptable risksnonlinear conditional expectationconic financetwo price economy

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Existence of financial equilibria with restricted participation
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Cites work

• scientific article; zbMATH DE number 3487161 (Why is no real title available?)
• scientific article; zbMATH DE number 1795125 (Why is no real title available?)
• scientific article; zbMATH DE number 3307201 (Why is no real title available?)
• A general theory of finite state backward stochastic difference equations
• A theory of value with nonlinear prices. Equilibrium analysis beyond vector lattices
• A two price theory of financial equilibrium with risk management implications
• Applied conic finance
• Arbitrage and Diversification in a General Equilibrium Asset Economy
• Asset pricing theory for two price economies
• Benchmarking in two price financial markets
• Bid and ask prices as non-linear continuous time G-expectations based on distortions
• Coherent measures of risk
• Existence of an Equilibrium for a Competitive Economy
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• Real effects of money in general equilibrium
• Temporary General Equilibrium Theory
• The General Theory of Employment, Interest, and Money
• Two price economies in continuous time

Cited in

(4)

• The Black–Scholes equation in the presence of arbitrage
• Valuation equilibrium with clubs
• Nonlinear equity valuation using conic finance and its regulatory implications
• Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement

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