An example of a stochastic equilibrium with incomplete markets
From MaRDI portal
Publication:1761437
DOI10.1007/s00780-011-0161-0zbMath1259.91089arXiv0906.0208MaRDI QIDQ1761437
Publication date: 15 November 2012
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0906.0208
Related Items
Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality, Asset pricing with general transaction costs: Theory and numerics, A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment, Radner equilibrium in incomplete Lévy models, Asset market equilibrium with liquidity risk, Equilibrium returns with transaction costs, On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets, Stability of Radner equilibria with respect to small frictions, A class of globally solvable Markovian quadratic BSDE systems and applications, A financial market with interacting investors: does an equilibrium exist?, Radner equilibrium and systems of quadratic BSDEs with discontinuous generators, A reputation game on cyber-security and cyber-risk calibration, An incomplete equilibrium with a stochastic annuity, Taylor approximation of incomplete Radner equilibrium models, Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles, Price impact in Nash equilibria
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Rational asset pricing bubbles and portfolio constraints
- Convergence of utility indifference prices to the superreplication price
- Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
- Convergence of utility functions and convergence of optimal strategies
- Stability of utility-maximization in incomplete markets
- Financial equilibria in the semimartingale setting: complete markets with withdrawal constraints
- STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
- CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
- Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
- Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets
- OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
- Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
- Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis
- On the Existence of an Arrow-Radner Equilibrium in the Case of Complete Markets. A Remark
- Equilibrium Models With Singular Asset Prices
- Exponential Hedging and Entropic Penalties
- The Consumption-Based Capital Asset Pricing Model
- Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do
- The Approximation of Fixed Points of a Continuous Mapping
