The equilibrium allocation of diffusive and jump risks with heterogeneous agents
DOI10.1016/J.JEDC.2004.09.002zbMATH Open1198.91159OpenAlexW2094325119MaRDI QIDQ956451FDOQ956451
Authors: Stephan Dieckmann, Michael Gallmeyer 
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2004.09.002
Recommendations
- Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
- Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty
- Allocation of risks and equilibrium in markets with finitely many traders
- Risk indifference pricing in jump diffusion markets
- Hedging jump risk, expected returns and risk premia in jump-diffusion economies
- A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
- Equilibrium in securities markets with heterogeneous investors and unspanned income risk
- Dynamic asset allocation with loss aversion in a jump-diffusion model
- Risk premiums and macroeconomic dynamics in a heterogeneous agent model
- Equilibrium asset and option pricing under jump diffusion
heterogeneous agentsgeneral equilibriumjump-diffusion modelinsurancepure exchange economyexcess uncertainty
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Special types of economic markets (including Cournot, Bertrand) (91B54) Actuarial science and mathematical finance (91G99) Heterogeneous agent models (91B69)
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Title not available (Why is that?)
- The market for crash risk
- Optimum portfolio diversification in a general continuous-time model
- Optimal portfolio for a small investor in a market model with discontinuous prices
- Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
- Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty
- Ruin problems and myopic portfolio optimization in continuous trading
- A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle
- Martingale Analysis for Assets with Discontinuous Returns
Cited In (6)
- Equilibrium in securities markets with heterogeneous investors and unspanned income risk
- When \(q\) theory meets large losses risks and agency conflicts
- The market for crash risk
- Equilibrium open interest
- Allocation of risks and equilibrium in markets with finitely many traders
- Pricing variance swaps for stochastic volatilities with delay and jumps
This page was built for publication: The equilibrium allocation of diffusive and jump risks with heterogeneous agents
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q956451)
