Work

Incomplete stochastic equilibria for dynamic monetary utility

Year: 2015

Type: preprint

Abstract: 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.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.1505.07224

Authors: Kardaras, Constantinos, Xing, Hao, Žitković, Gordan

Institution: The University of Texas at Austin

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: National Science Foundation

Awards: AMC-SS: Stochastic Modeling and Methods in Financial Equilibrium Theory, Collaborative Research: RNMS: Kinetic Description of Emerging Challenges in Multiscale Problems of Natural Sciences

OpenAlex ID: W2590374236

Cites: 22

Cited by: 19

Related to: 10