Publikation:

Equilibrium Prices for Monetary Utility Functions

Vorschaubild

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2008

Autor:innen

Filipovic, Damir

Herausgeber:innen

Kontakt

ISSN der Zeitschrift

Electronic ISSN

ISBN

Bibliografische Daten

Verlag

Schriftenreihe

Auflagebezeichnung

URI (zitierfähiger Link)
DOI (zitierfähiger Link)
https://doi.org/10.1142/S0219024908004828
ArXiv-ID

Internationale Patentnummer

Angaben zur Forschungsförderung

Projekt

Open Access-Veröffentlichung

Sammlungen

Mathematik und Statistik: Publikationen
Core Facility der Universität Konstanz

Gesperrt bis

Titel in einer weiteren Sprache

Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published

Erschienen in

International Journal of Theoretical and Applied Finance. 2008, 11(03), pp. 325-343. ISSN 0219-0249. eISSN 1793-6322. Available under: doi: 10.1142/S0219024908004828

Zusammenfassung

This paper provides sufficient and necessary conditions for the existence of equilibrium pricing rules for monetary utility functions under convex consumption constraints. These utility functions are characterized by the assumption of a fully fungible numeraire asset ("cash"). Each agent's utility is nominally shifted by exactly the amount of cash added to his endowment. We find the individual maximum utility that each agent is eligible for in an equilibrium and provide a game theoretic point of view for the fair allocation of the aggregate utility.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
510 Mathematik

Schlagwörter

Konferenz

Rezension
undefined / . - undefined, undefined

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Zugehörige Datensätze in KOPS

Zitieren

ISO 690FILIPOVIC, Damir, Michael KUPPER, 2008. Equilibrium Prices for Monetary Utility Functions. In: International Journal of Theoretical and Applied Finance. 2008, 11(03), pp. 325-343. ISSN 0219-0249. eISSN 1793-6322. Available under: doi: 10.1142/S0219024908004828
BibTex
@article{Filipovic2008-05Equil-40946,
  year={2008},
  doi={10.1142/S0219024908004828},
  title={Equilibrium Prices for Monetary Utility Functions},
  number={03},
  volume={11},
  issn={0219-0249},
  journal={International Journal of Theoretical and Applied Finance},
  pages={325--343},
  author={Filipovic, Damir and Kupper, Michael}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/40946">
    <dc:creator>Kupper, Michael</dc:creator>
    <dcterms:title>Equilibrium Prices for Monetary Utility Functions</dcterms:title>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2017-12-15T13:12:05Z</dc:date>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dc:contributor>Kupper, Michael</dc:contributor>
    <dcterms:issued>2008-05</dcterms:issued>
    <dc:language>eng</dc:language>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dcterms:abstract xml:lang="eng">This paper provides sufficient and necessary conditions for the existence of equilibrium pricing rules for monetary utility functions under convex consumption constraints. These utility functions are characterized by the assumption of a fully fungible numeraire asset ("cash"). Each agent's utility is nominally shifted by exactly the amount of cash added to his endowment. We find the individual maximum utility that each agent is eligible for in an equilibrium and provide a game theoretic point of view for the fair allocation of the aggregate utility.</dcterms:abstract>
    <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/40946"/>
    <dc:creator>Filipovic, Damir</dc:creator>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dc:contributor>Filipovic, Damir</dc:contributor>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2017-12-15T13:12:05Z</dcterms:available>
  </rdf:Description>
</rdf:RDF>

Interner Vermerk

xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter

Kontakt
URL der Originalveröffentl.

Prüfdatum der URL

Prüfungsdatum der Dissertation

Finanzierungsart

Kommentar zur Publikation

Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Nein
Begutachtet
Diese Publikation teilen