Partial equilibria with convex capital requirements: existence, uniqueness and stability
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DOI: 10.1007/s10436-009-0134-x
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Cited by:
- Michail Anthropelos, 2012. "The Effect of Market Power on Risk-Sharing," Papers 1206.0384, arXiv.org, revised May 2016.
- Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2021. "Optimal investment, derivative demand, and arbitrage under price impact," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 3-35, January.
- Patrick Cheridito & Ulrich Horst & Michael Kupper & Traian A. Pirvu, 2016.
"Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences,"
Mathematics of Operations Research, INFORMS, vol. 41(1), pages 174-195, February.
- Patrick Cheridito & Ulrich Horst & Michael Kupper & Traian A. Pirvu, 2011. "Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences," SFB 649 Discussion Papers SFB649DP2011-083, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011. "Equilibrium pricing in incomplete markets under translation invariant preferences," SFB 649 Discussion Papers 2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Scott Robertson, 2023. "Equilibrium with Heterogeneous Information Flows," Papers 2304.01272, arXiv.org, revised Mar 2024.
- Oleksii Mostovyi, 2020. "Stability of the indirect utility process," Papers 2002.09445, arXiv.org.
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More about this item
Keywords
Acceptance sets; Convex capital requirements; Incomplete markets; Mutually agreeable claims; Partial equilibrium allocation; Partial equilibrium price; Stability of equilibria; Primary 91B70; Secondary 91B30; 60G35; G11; G12; C62;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
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