Trading prices when the initial wealth is random

MaRDI QIDQ3091292zbMATH OpenFDO

Authors Marius Rădulescu, Gheorghiţă Zbăganu

Publication date 8 September 2011

zbMATH Keywords

buying priceCARA utilitiesdecision makerexpected utilityselling priceutility function

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Utility theory for games (91A30)

Recommendations

• Random competitive exchange: Price distributions and gains from trade
• Optimal strategies for utility from terminal wealth with general bid and ask prices
• Utility maximization in incomplete markets
• Nondegenerate intervals of no-trade prices for risk averse traders
• A note on utility-based pricing in models with transaction costs

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