Risk Trading and Endogenous Probabilities in Investment Equilibria
DOI10.1137/110851778zbMath1372.91130OpenAlexW3123547841MaRDI QIDQ3461988
Publication date: 4 January 2016
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/291829d1ceddd1b1457d4c8d9112d663fca90328
risk measurerisk aversecomplete financial marketrisk tradingrisky design equilibrium problemrisky design gamestochastic-endogenous equilibrium problem
Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Stochastic games, stochastic differential games (91A15) Auctions, bargaining, bidding and selling, and other market models (91B26) Actuarial science and mathematical finance (91G99)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Equilibrium, uncertainty and risk in hydro-thermal electricity systems
- Liquidity risks on power exchanges: a generalized Nash equilibrium model
- Convex analysis and financial equilibrium
- Finite-dimensional variational inequality and nonlinear complementarity problems: A survey of theory, algorithms and applications
- Allocation of risks and equilibrium in markets with finitely many traders
- Optimal capital and risk allocations for law- and cash-invariant convex functions
- Convex measures of risk and trading constraints
- On the existence of solutions to stochastic quasi-variational inequality and complementarity problems
- Inf-convolution of risk measures and optimal risk transfer
- Coherent Measures of Risk
- Generation Capacity Expansion in a Risky Environment: A Stochastic Equilibrium Analysis
- TECHNICAL NOTE—Robust Newsvendor Competition Under Asymmetric Information
- Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
- EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
- OVERLAPPING SETS OF PRIORS AND THE EXISTENCE OF EFFICIENT ALLOCATIONS AND EQUILIBRIA FOR RISK MEASURES
- Lectures on Stochastic Programming
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- Pareto Equilibria with coherent measures of risk
- Optimization of Convex Risk Functions
- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
- Convex Analysis
- Equilibrium points in n -person games
This page was built for publication: Risk Trading and Endogenous Probabilities in Investment Equilibria