Endogenous noise trackers in a Radner equilibrium
From MaRDI portal
(Redirected from Publication:5045203)
Abstract: We prove the existence of an incomplete Radner equilibrium in a model with exponential investors and an endogenous noise tracker. We analyze a coupled system of ODEs and reduce it to a system of two coupled ODEs in order to establish equilibrium existence. As an application, we study the impact of the endogenous noise tracker on welfare by comparing to a model with an exogenous noise trader. We show that the aggregate welfare in the endogenous noise tracker model is bigger for a sufficiently large stock supply, but the welfare comparison depends in a non-trivial manner on the other model parameters.
Recommendations
- Radner equilibrium in incomplete Lévy models
- Existence of an endogenously complete equilibrium driven by a diffusion
- Stability of Radner equilibria with respect to small frictions
- Existence of a Radner equilibrium in a model with transaction costs
- Taylor approximation of incomplete Radner equilibrium models
Cites work
- A class of globally solvable Markovian quadratic BSDE systems and applications
- A note on admissibility when the credit line is infinite
- Continuous Auctions and Insider Trading
- Dynamic portfolio choice with frictions
- Equilibrium effects of intraday order-splitting benchmarks
- Equilibrium returns with transaction costs
- Exponential Hedging and Entropic Penalties
- On the aggregation of information in competitive markets
- Ordinary differential equations.
- Taylor approximation of incomplete Radner equilibrium models
Cited in
(2)
This page was built for publication: Endogenous noise trackers in a Radner equilibrium
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5045203)
