Financial equilibrium with non-linear valuations

DOI10.1007/S10436-017-0312-1zbMATH Open1397.91228OpenAlexW2767411961MaRDI QIDQ1648908FDOQ1648908

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

Recommendations

• Existence of financial equilibria with restricted participation
• Pareto Equilibria with coherent measures of risk
• Formulation and computation of general financial equilibrium
• Convex analysis and financial equilibrium
• A two price theory of financial equilibrium with risk management implications

zbMATH Keywords

acceptable risksnonlinear conditional expectationconic financetwo price economy

Mathematics Subject Classification ID

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

Cites Work

• Coherent measures of risk
• Title not available (Why is that?)
• Title not available (Why is that?)
• Two price economies in continuous time
• Existence of an Equilibrium for a Competitive Economy
• Temporary General Equilibrium Theory
• Title not available (Why is that?)
• The General Theory of Employment, Interest, and Money
• 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
• A general theory of finite state backward stochastic difference equations
• Real effects of money in general equilibrium
• A theory of value with nonlinear prices. Equilibrium analysis beyond vector lattices
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• A two price theory of financial equilibrium with risk management implications
• Applied conic finance
• Arbitrage and Diversification in a General Equilibrium Asset Economy

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

This page was built for publication: Financial equilibrium with non-linear valuations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1648908)