Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization
From MaRDI portal
Publication:1937772
DOI10.1007/s11424-010-9002-zzbMath1255.93155MaRDI QIDQ1937772
Publication date: 31 January 2013
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-010-9002-z
incomplete market; trading strategy; backward stochastic differential equation; Pareto optimum; cooperative investment; stochastic utility; agents capital; optimal cooperative strategies; stochastic optimization method
93C41: Control/observation systems with incomplete information
93E20: Optimal stochastic control
91G10: Portfolio theory
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A variational problem arising in financial economics
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- On games without side payments arising from a general class of markets
- Competitive outcomes in the cores of market games
- Stochastic cooperative games in insurance
- The fundamental theorem of asset pricing for unbounded stochastic processes
- A general version of the fundamental theorem of asset pricing
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- A characterization of polyhedral market games
- Multi-agent investment in incomplete markets
- Backward stochastic partial differential equations related to utility maximization and hedging
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
- Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- Perspectives of Risk Sharing
- Convex Analysis
- Equilibrium in a Reinsurance Market
- A Limit Theorem on the Core of an Economy