The stochastic field of aggregate utilities and its saddle conjugate

DOI10.1134/S0081543814080033zbMATH Open1320.91166arXiv1310.7280OpenAlexW1986774056MaRDI QIDQ492162FDOQ492162

Authors: Dmitry Kramkov, Peter Bank 

Publication date: 20 August 2015

Published in: Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

Abstract: We describe the sample paths of the stochastic field $F=F_t(v,x,q)$ of aggregate utilities parameterized by Pareto weights $v$ and total cash amounts $x$ and stocks' quantities $q$ in an economy. We also describe the sample paths of the stochastic field $G=G_t(u,y,q)$, which is conjugate to $F$ with respect to the saddle arguments $(v,x)$, and obtain various conjugacy relations between these stochastic fields. The results of this paper play a key role in our study of a continuous-time price impact model.

Full work available at URL: https://arxiv.org/abs/1310.7280

Recommendations

• Mixture of consistent stochastic utilities and \textit{a priori} randomness
• Stochastic Differential Utility
• A model for a large investor trading at market indifference prices. I: Single-period case
• Incomplete stochastic equilibria with exponential utilities close to Pareto optimality
• On aggregation and representative agent equilibria

Mathematics Subject Classification ID

Random fields (60G60) Portfolio theory (91G10) Financial applications of other theories (91G80)

Cites Work

• Variational Analysis
• Convex Analysis
• Title not available (Why is that?)
• Envelope Theorems for Arbitrary Choice Sets
• Asset equilibria in \(L^ p\) spaces with complete markets: A duality approach
• A model for a large investor trading at market indifference prices. I: Single-period case
• A model for a large investor trading at market indifference prices. II: Continuous-time case.
• Title not available (Why is that?)
• Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
• Existence, uniqueness and determinacy of Arrow-Debreu equilibria in finance models
• On a stochastic differential equation arising in a price impact model

Cited In (4)

• Superreplication when trading at market indifference prices
• PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS
• A model for a large investor trading at market indifference prices. I: Single-period case
• Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling

This page was built for publication: The stochastic field of aggregate utilities and its saddle conjugate

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q492162)