Multi-agent investment in incomplete markets
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Publication:1887274
DOI10.1007/s00780-003-0115-2zbMath1052.91055OpenAlexW2072514696MaRDI QIDQ1887274
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
Cooperative games (91A12) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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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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