Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences
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Publication:2800369
DOI10.1287/moor.2015.0721zbMath1410.91439OpenAlexW3123884815MaRDI QIDQ2800369
Patrick Cheridito, Traian A. Pirvu, Ulrich Horst, Michael Kupper
Publication date: 15 April 2016
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-083.pdf
incomplete marketscompetitive equilibriumtrading constraintsheterogenous agentsone-fund theoremtranslation invariant preferences
Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative securities (option pricing, hedging, etc.) (91G20) Heterogeneous agent models (91B69)
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