The equilibrium allocation of diffusive and jump risks with heterogeneous agents

DOI10.1016/J.JEDC.2004.09.002MaRDI QIDQ956451zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

heterogeneous agentsgeneral equilibriumjump-diffusion modelinsurancepure exchange economyexcess uncertainty

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle
• Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
• Martingale Analysis for Assets with Discontinuous Returns
• 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
• Optimal portfolio for a small investor in a market model with discontinuous prices
• Optimum consumption and portfolio rules in a continuous-time model
• Optimum portfolio diversification in a general continuous-time model
• Ruin problems and myopic portfolio optimization in continuous trading
• Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty
• The market for crash risk

Cited in

(6)

• Pricing variance swaps for stochastic volatilities with delay and jumps
• Allocation of risks and equilibrium in markets with finitely many traders
• When \(q\) theory meets large losses risks and agency conflicts
• Equilibrium in securities markets with heterogeneous investors and unspanned income risk
• The market for crash risk
• Equilibrium open interest

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