Incomplete stochastic equilibria for dynamic monetary utility

Autor:	Kardaras, Constantinos, Xing, Hao, Žitković, Gordan
Rok vydání:	2015
Předmět:	Mathematics - Probability Quantitative Finance - Mathematical Finance
Druh dokumentu:	Working Paper
Popis:	We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete market model among a group of agents whose preference is characterized by cash invariant time-consistent monetary utilities. An assumption of "smallness" type is shown to be sufficient for existence and uniqueness. In particular, this assumption encapsulates settings with small endowments, small time-horizon, or a large population of weakly heterogeneous agents. Central role in our analysis is played by a fully-coupled nonlinear system of quadratic BSDEs. Comment: 33 pages - significantly revised version, extending from exponential to general dynamic monetary utilities
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1505.07224 Zobrazit plný text záznamu View this record from Arxiv